/usr/share/octave/packages/financial-0.5.0/blsvega.m is in octave-financial 0.5.0-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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##
## This program is free software; you can redistribute it and/or modify it under
## the terms of the GNU Lesser General Public License as published by the Free
## Software Foundation; either version 3 of the License, or (at your option) any
## later version.
##
## This program is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
## FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License
## for more details.
##
## You should have received a copy of the GNU Lesser General Public License
## along with this program; if not, see <http://www.gnu.org/licenses/>.
## -*- texinfo -*-
## @deftypefn {Function File} {@var{Vega} =} blsvega (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility})
## @deftypefnx {Function File} {@var{Vega} =} blsvega (@var{Price}, @var{Strike}, @var{Rate}, @var{Time}, @var{Volatility}, @var{Yield})
## Computes the Black-Scholes vega.
##
## @itemize @minus{}@minus{}
## @item
## Variable: @var{Price} The current price of the underlying asset.
## @item
## Variable: @var{Strike} The strike price the option is written on.
## @item
## Variable: @var{Rate} The risk-free interest rate.
## @item
## Variable: @var{Time} The time-to-expiry.
## @item
## Variable: @var{Volatility} The volatility of the underlying asset.
## @item
## Variable: @var{Yield} (Optional, default = 0) Annualized, continuously compounded rate of dividends of the underlying asset.
## @end itemize
##
## Computes the Black-Scholes vega, the rate of change of the option value with
## respect to the volatility of the underlying asset.
##
## @seealso{blsdelta, blsgamma, blslambda, blsprice, blsrho, blstheta}
## @end deftypefn
function Vega = blsvega (Price, Strike, Rate, Time, Volatility, Yield = 0)
if (nargin < 5 || nargin > 6)
print_usage ();
endif
blscheck ("blsvega", Price, Strike, Rate, Time, Volatility, Yield);
sqrtT = sqrt (Time);
d1 = 1 ./ (Volatility .* sqrtT) .* (log (Price ./ Strike) + ...
(Rate - Yield + Volatility.^2 / 2) .* Time);
Vega = Price .* exp (-Yield .* Time) .* normpdf (d1) .* sqrtT;
endfunction
## Tests
%!test
%assert (blsvega(90:10:110, 100, 0.04, 1, 0.2, 0.01), [34.2115 38.2821 33.3682], 1e-4)
## Test input validation
%!error blsvega ()
%!error blsvega (1)
%!error blsvega (1, 2)
%!error blsvega (1, 2, 3)
%!error blsvega (1, 2, 3, 4)
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