#include <fstream.h>
#include <math.h>
#include <stdlib.h>
#include <iomanip.h>
#include <string.h>

#define pi 3.141592653

class option
{
public:
	//**FUNCTIONS**//
	
	void DisplayInfo();
	void defineOption(ifstream myFile);
	void BlackScholes();
	float nd(float d1);
	void sdeviation(ifstream myFile);
	

	//**IMPORTANT VARIABLES**//
	
	char name[5];    			//ticker symbol
	float stock;    			//stock price
	float strike;   			//strike price
	float expiration; 			//years until expiration
	float rate;     			//interest rate
	float volat;    			//volatility
	
	//**AUXILLARY VARIABLES**//
	float mean;					//mean of stock data
	float sd;					//sd of stock data
	float BSprice;  			//black-scholes option price
};

void option::DisplayInfo()
{
	cout<<"Stock Name: "<<name<<endl;
	cout<<"Stock Price: "<<stock<<endl;
	cout<<"Expiration Date: "<<expiration<<endl;
	cout<<"Interest Rate: "<<rate<<endl;
	cout<<"Volatility: "<<volat<<endl;
	cout<<"Black-Scholes Price: "<<BSprice<<endl;
}

void option::defineOption(ifstream myFile)
{
	myFile >> name >> stock >> strike >> expiration >> rate >> volat;
}

void option::BlackScholes()
{
	float d1 = (log(stock / strike) + (rate + pow(volat,2) / 2) * expiration)/(volat*sqrt(expiration));
	float d2 = d1 - volat * sqrt(expiration);
	cout<<d1<<" "<<d2<<endl;
	BSprice = stock * nd(d1) - strike * exp( -1.0 * rate * expiration) * nd(d2);
}

float option::nd(float d1)
{
	//the standard normal cumulative distribution function
	float score;			//loop variable (z-score)
	float CDF = 0.0;		//value of the standard normal cumulative distribution function
	for(float score=-3.0; score<d1; score+=.00001)	//integral, -3 to z-score of normal curve
		CDF += .00001* 1/sqrt(2*pi*1) * exp(-1*(score)*(score)/(2*1*1));	//sd = 1
	return CDF + .0013499672;		//intergral from -infinity to -3 = .015
}

void option::sdeviation(ifstream myFile)
{
	//standard deviation of the 30-day stock data
	int x;							//for loop variable
	float sum_of_array = 0.0;		//sum of 30-day stock data
	float sum_of_residuals = 0.0;	//sum of residuals for sd calculation
	float price_array[30];			//array of stock data
	mean = 0.0;						//mean, for sd calculation
	for(x=0; x<30;x++)
	{
		myFile >> price_array[x];
		sum_of_array += price_array[x];
	}
	mean = sum_of_array / 30.0;
	for (x=0; x<30; x++)
	{
		float difference = mean - price_array[x];
		if (difference < 0)			//absolute value
			difference = difference * -1.0;
		sum_of_residuals += difference * difference;	//add residual^2
	}
	sd = sqrt(sum_of_residuals / 30.0);
	volat = sd/stock;		//volatility = standard deviation/stock price
}

int main()
{
	option a;
	//cout << "Input values:";
	//cin >> a.stock >> a.strike >> a.expiration >> a.rate >> a.volat;
	a.stock = 50.0;
	a.strike = 60.0;
	a.expiration = .1;
	a.rate = .04;
	a.volat = .44;
	a.BlackScholes();    //calculates the Black-Scholes option value
	cout << a.BSprice << endl;
	return 0;
}