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Fix bugs in greek's calculations #2

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Fix bugs in greek's calculations #2

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13 changes: 7 additions & 6 deletions Code.gs
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Original file line number Diff line number Diff line change
Expand Up @@ -38,7 +38,7 @@ function OPTIONDELTA(price, strike, volatility, interest, dividend, days, option
function OPTIONGAMMA(price, strike, volatility, interest, dividend, days) {
var d1 = D1_(price, strike, volatility, interest, dividend, days);
var time = days/365;
var eqt = Math.exp(-dividend * time);
var eqt = Math.exp(-interest * time);
var asqrtT = volatility * Math.sqrt(time);

return Math.exp(-1 * Math.pow(d1, 2)/2)/Math.sqrt(2*Math.PI)*eqt/(price*asqrtT);
Expand All @@ -63,14 +63,15 @@ function OPTIONTHETA(price, strike, volatility, interest, dividend, days, option
var time = days/365;
var eqt = Math.exp(-dividend * time);
var xert = Math.exp(-interest * time) * strike;
var nd1 = NORMDIST_(D1_(price, strike, volatility, interest, dividend, days));

if (optiontype == "Put")
{
return (-(price*Math.exp(-1*Math.pow(d1,2)/2)/Math.sqrt(2*Math.PI)*volatility*eqt/(2*Math.sqrt(time)))+(interest*xert*nd1)-(dividend*price*nd1*eqt))/365;
var nNegD2 = NORMDIST_(-D2_(price, strike, volatility, interest, dividend, days));
return (-(price*Math.exp(-1*Math.pow(d1,2)/2)/Math.sqrt(2*Math.PI)*volatility*eqt/(2*Math.sqrt(time)))+(interest*xert*nNegD2)-(dividend*price*nNegD2*eqt))/365;
}

return (-(price*Math.exp(-1*Math.pow(d1,2)/2)/Math.sqrt(2*Math.PI)*volatility*eqt/(2*Math.sqrt(time)))-(interest*xert*nd1)+(dividend*price*nd1*eqt))/365;

var nD2 = NORMDIST_(D2_(price, strike, volatility, interest, dividend, days));
return (-(price*Math.exp(-1*Math.pow(d1,2)/2)/Math.sqrt(2*Math.PI)*volatility*eqt/(2*Math.sqrt(time)))-(interest*xert*nD2)+(dividend*price*nD2*eqt))/365;
}


Expand All @@ -90,7 +91,7 @@ function OPTIONTHETA(price, strike, volatility, interest, dividend, days, option
function OPTIONVEGA(price, strike, volatility, interest, dividend, days) {
var d1 = D1_(price, strike, volatility, interest, dividend, days);
var time = days/365;
var eqt = Math.exp(-dividend * time);
var eqt = Math.exp(-interest * time);

return Math.exp(-1*Math.pow(d1,2)/2)/Math.sqrt(2*Math.PI)*eqt*price*Math.sqrt(time)/100;
}
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