blackscholesformulas.h

C++ design pattern in finance. Must know for QF engineers

//
//
//                      BlackScholesFormulas.h
//
//

#ifndef BLACK_SCHOLES_FORMULAS_H
#define BLACK_SCHOLES_FORMULAS_H



double BlackScholesCall( double Spot,
                         double Strike,
                         double r,
                         double d,
                         double Vol,
                         double Expiry);


double BlackScholesPut( double Spot,
                        double Strike,
                        double r,
                        double d,
                        double Vol,
                        double Expiry);

double BlackScholesDigitalCall(double Spot,
                               double Strike,
                               double r,
                               double d,
                               double Vol,
                               double Expiry);


double BlackScholesCallVega( double Spot,
                             double Strike,
                             double r,
                             double d,
                             double Vol,
                             double Expiry);


#endif

/*
 *
 * Copyright (c) 2002
 * Mark Joshi
 *
 * Permission to use, copy, modify, distribute and sell this
 * software for any purpose is hereby
 * granted without fee, provided that the above copyright notice
 * appear in all copies and that both that copyright notice and
 * this permission notice appear in supporting documentation.
 * Mark Joshi makes no representations about the
 * suitability of this software for any purpose. It is provided
 * "as is" without express or implied warranty.
*/