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CDF problem with <cmath>

anjoazul (6)
Hi guys!
I'm studying the book 'C++ for Quantitative Finance' and implementing the first example Vanilla Option, but in the function to calculate call / put option values, the IDE always reports a error: 'N was not declared in this scope'.
I bet the N stands for the calculation of CDF of a standard normal distribution, using <cmath>. I checked <cmath> documentation and found out that the library does not include function N.
Could u please give me some solution for this ?
Thanks a lot!!!

Here are the codes: 

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#ifndef VANILLAOPTION_H
#define VANILLAOPTION_H

class vanillaoption
{
    public:
        vanillaoption(); 

        vanillaoption(const double& _K,
                      const double& _r,
                      const double& _T,
                      const double& _S,
                      const double& _sigma); 
        vanillaoption(const vanillaoption& rhs); 

        vanillaoption& operator=(const vanillaoption& rhs); 

        virtual ~vanillaoption();

        // selector (getter) methods for our option parameters
        double getK() const;
        double getr() const;
        double getT() const;
        double getS() const;
        double getsigma() const;

        
        double calcalloption() const;
        double calputoption() const;

    protected:

    private:
        void init();
        void copy(const vanillaoption& rhs);

        double K;
        double r;
        double T;
        double S;
        double sigma;

};

#endif // VANILLAOPTION_H



#include <iostream>
#include "vanillaoption.h"
#include <cmath>

using namespace std;

void vanillaoption::init(){
        K = 100.0;
        r = 0.05;
        T = 1.0;
        S = 100.0;
        sigma = 0.2;

}

vanillaoption::vanillaoption()
{
    init();
}

vanillaoption::vanillaoption(const double& _K, const double& _r, const double& _T, const double& _S, const double& _sigma)
{
    K = _K;
    r = _r;
    T = _T;
    S = _S;
    sigma = _sigma;
}

//copy constructor
vanillaoption::vanillaoption(const vanillaoption& rhs)
{
    copy(rhs);
}

//assignment operator
vanillaoption& vanillaoption::operator=(const vanillaoption& rhs)
{
    if (this == &rhs) return *this; 
    copy(rhs); 
    return *this; /
}

void vanillaoption::copy(const vanillaoption& rhs){
    K = rhs.getK();
    r = rhs.getr();
    T = rhs.getT();
    S = rhs.getS();
    sigma = rhs.getsigma();
}

vanillaoption::~vanillaoption()
{
    //empty
}

double vanillaoption::getK() const {
    return K;
}

double vanillaoption::getr() const {
    return r;
}

double vanillaoption::getT() const {
    return T;
}

double vanillaoption::getS() const {
    return S;
}

double vanillaoption::getsigma() const {
    return sigma;
}



double vanillaoption::calcalloption() const
{
    double sigma_squrt_T = sigma * sqrt(T);
    double d_1 = ( log(S/K) + sigma * sigma * 0.5 * T) / sigma_squrt_T;
    double d_2 = d_1 - sigma_squrt_T;
    return (S * exp(-r*T) * N(d_1)) - (K * exp(-r*T) * N(d_2)); // problem occurred in this line
};
double vanillaoption::calputoption() const
{
    double sigma_squrt_T = sigma * sqrt(T);
    double d_1 = ( log(S/K) + sigma * sigma * 0.5 * T) / sigma_squrt_T;
    double d_2 = d_1 - sigma_squrt_T;
    return (K * exp(-r*T) * N(-d_2)) - (S * exp(-r*T) * N(-d_1));
};



Thanks!
Last edited on
AbstractionAnon (6954)
Line 89: Extraneous /

Line 132, 139: N appears to be a function call, but I see no such function.

jonnin (11333)
I have not fooled with probability since the 90s so forgive me... but a quick google provided this function for N:

double normalCFD(double value)
{
return 0.5 * erfc(-value * M_SQRT1_2);
}

TEST it to see if it is correct and giving yuo what you expect.

erfc is in <cmath> as is the constant. It should flat out work if the formula is correct.
Last edited on
anjoazul (6)
Thanks a lot, AbstractionAnon and jonnin, using the function indicated by jonnin, the problem has been solved!!!I'm so happy with this, my friends!
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