bondopt_put_bs.cc

Financial Recipes

#include <cmath>
#include "normdist.h"

double bond_option_price_put_zero_black_scholes(double B, 
						double X, 
						double r, 
						double sigma,
						double time){
    double time_sqrt = sqrt(time);
    double d1 = (log(B/X)+r*time)/(sigma*time_sqrt) + 0.5*sigma*time_sqrt;
    double d2 = d1-(sigma*time_sqrt);
    double p =  X * exp(-r*time) * N(-d2) - B * N(-d1); 
    return p;
};