/*
      A simple code for binomial tree option valuation for the class
	  Derivative Securities, fall 2009 
	  http://www.math.nyu.edu/faculty/goodman/teaching/DerivSec09/index.html
	  Outlined for this purpose by Jonathan Goodman, instructor.
	  	  
	  Modified October 8 to calibrate the tree to given market parameters
	  
	  For Assignment 4
*/


#include <iostream>
#include <fstream>
#include <math.h>
#define MAXN 100   /* The max number of tree steps allowed  */

/*   A program to compute a simple binomial tree price for a European style put option  */

using namespace std;

int bTree                   // The return value is an error code.  0 means it was OK, not 0 means it was bad.
         ( double* V,       // A return value, the computed option price for S0
           double* Del,     // A return value, the computed value of Delta 
           double  S0,      // The spot price of the underlying stock
		   double  T,       // The time until expiration
		   double  K,       // The strike price
		   double  r,       // The risk free rate, in percent per year
		   double  sig,     // The volatility, on a yearly basis
		   int     n        // The number of time steps in the binomial tree
       );

int main() {
   
   ofstream csvFile;              // The file for output, assumed to be csv format for Excel.
   csvFile.open ("option.csv");
   
   double V;
   double Del;
   double r     = .03;  
   double sig   = .2;
   double K     = 100;
   double S0min = 20;
   double S0max = 150;
   double dS0   = 1;
   double K     = 100;
   int    n     = 200;
   
   
//   Write the parameters of this run into the output file, in the top two rows of the spreadsheet

   csvFile << "  Strike,        r,           vol,           T  " << endl;
   csvFile <<      K << ", " << r << ", " << vol << ", " << T  << endl;
   csvfile << endl;       // leave a blank row before the data
   
//  Write column headers for the output data

   csvFile << "spot,  option value, option delta" << endl;  
   
// The actual computation loop
   
   for ( double S0 = S0min; S0 < S0max; S0+= dS0) {   // Compute the option price for a range of spot prices 
      
            if (    // check the return code.
      bTree( &V, &Del, S0, T, K, r, sig, n) ) {        
               cout << "Got an error in bTree.  Stopping. " << endl;
	           return 1;}
			   
      csvFile << S0 << ", " << V << ", " << Del << endl;
    }
			
   
   csvFile.close();    // Close up the file ...
   return 0;           // ... and go home.
   
}




int bTree                   // The return value is an error code.  0 means it was OK, not 0 means it was bad.
         ( double* V,       // A return value, the computed option price for S0
           double* Del,     // A return value, the computed value of Delta 
           double  S0,      // The spot price of the underlying stock
		   double  T,       // The time until expiration
		   double  K,       // The strike price
		   double  r,       // The risk free rate
		   double  sig,     // The volatility
		   int     n        // The number of time steps in the binomial tree
       )  {
	   
   //  A bunch of error checking.  Probably pointless here, but a good habit to keep up.
	   
      //   ADD YOUR OWN CHECKS 


   double dt = T/n;                     // The time step size if there are n time steps to time T
   double u = exp( sig*sqrt(dt) );      // The up and down steps, now found from sigma and dt
   double d = exp(-sig*sqrt(dt) );
   double B = exp(-r*dt);
	
	
	
//      CONTINUE AS BEFORE ..... 


	
}