tst_black_scholes.cc

Financial Recipes

#include <vector>

void test_black_scholes_price(){
   cout << "Testing Black Scholes price " << endl;
   double spot = 48;
   double exercise = 40;
   double r = 0.08; 
   double sigma = 0.30;
   double time_to_maturity=0.5;
   cout << " call price = " 
	<< option_price_call_black_scholes(spot,exercise,r,sigma, time_to_maturity)
	<< endl;
   cout << " put price = " 
	<< option_price_put_black_scholes(spot,exercise,r,sigma, time_to_maturity)
	<< endl;
   cout << " call delta= " 
	<< option_price_delta_call_black_scholes(spot,exercise,r,sigma, time_to_maturity)
	<< endl;
   cout << " put delta = " 
	<< option_price_delta_put_black_scholes(spot,exercise,r,sigma, time_to_maturity)
	<< endl;
};


void test_black_scholes(){
   test_black_scholes_price();
};