Hi, I am looking for source code for a theoretical options value calculator/script in any platform language. I need a options theoretical value script for SierraChart to plot theoretical value, and can't find one... So, going to try to find one to convert! Anyone know of one?
I did manage to find this... This look correct? As for volatility... Not sure what to do. Will synthetic Vix work? I don't need perfect accuracy... Just something that follows close to theoretical. Code: //S= Stock price //X=Strike price //T=Years to maturity //r= Risk-free rate //v=Volatility //The Black-Scholes Model is a formula for calculating the fair value of an option contract, where an option is a derivative whose value is based on some underlying asset. #ifndef Pi #define Pi 3.141592653589793238462643 #endif // The Black and Scholes (1973) Stock option formula in C++ double BlackScholes(char CallPutFlag, double S, double X, double T, double r, double v) { double d1, d2; d1=(log(S/X)+(r+v*v/2)*T)/(v*sqrt(T)); d2=d1-v*sqrt(T); if(CallPutFlag == 'c') return S *CND(d1)-X * exp(-r*T)*CND(d2); else if(CallPutFlag == 'p') return X * exp(-r * T) * CND(-d2) - S * CND(-d1); } // The cumulative normal distribution function double CND( double X ) { double L, K, w ; double const a1 = 0.31938153, a2 = -0.356563782, a3 = 1.781477937; double const a4 = -1.821255978, a5 = 1.330274429; L = fabs(X); K = 1.0 / (1.0 + 0.2316419 * L); w = 1.0 - 1.0 / sqrt(2 * Pi) * exp(-L *L / 2) * (a1 * K + a2 * K *K + a3 * pow(K,3) + a4 * pow(K,4) + a5 * pow(K,5)); if (X < 0 ){ w= 1.0 - w; } return w; }
you might have to search - or ask at their forum but they should have something here. http://www.wilmott.com/fileshare.cfm?NoCookies=Yes&forumid=1
try this as it has a section with 30 different language scripts http://www.espenhaug.com/features.html