netrium-0.6.0: examples/Option.contract

import Options

contract =
    option "opt" exerciseDetails CallOption emptyOptionAttrs underlying

  where
    -- note that the underlying contract describes *both* what we recieve and
    -- how much we pay for it (which depends on the strike price).
    -- of course for a vanilla european option the strike price is fixed,
    -- but with something like an asian option, it's calculated,
    -- which is why here the strike price is a paramater to underlying rather
    -- than us just using the 'strikePrice' variable defined below.

    underlying sp = physical quantity (Market gas thm nbp)
              `and` give (financial (sp * quantity) gbp cash)
    quantity = 10
    
    -- Note also, that this 'sp' (strike price) paramater can be used as the
    -- basis for multiple cash flows, e.g. regular payments, rather than just
    -- a payment at the time the option is exercised.


    -- here we have a barrier condition on a different index to the price of
    -- the underlying, the barrier is based on the temperature where as the
    -- the underlying is for gas.

    exerciseDetails =
      barrierDownAndIn temperatureUK floorTemp $
        europeanExercise (date 2011 06 01) strikePrice

    strikePrice = 2.5
    floorTemp   = 5 --degrees