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May 5

ATOM C++ option calculator

Posted by abiao at 16:01 | Code » C++ | Comments(0) | Reads(9283)
Another derivative calculator shared with you, ATOM - Advanced Tool for Option Modelling is a C++ option calculator covers:

price, implied volatility and Greek letters;
Black-Scholes analytic formula;
binomial tree lattice;
Cox-Ross-Rubinstein parametrisation;
Jarrow-Rudd equal-probabilitiy parametrisation;
control variable technique;
Broadie-Detemple penultimate node analytic approximation;
Monte carlo simulation with the following variance reduction and normal sampling techniques:
antithetic variable;
moment matching, also known as quadratic re-sampling;
Mersenne Twister pseudo-random numbers;
Halton quasi-random numbers;
Box-Muller polar normal inversion;
Moro normal inversion;
unlimited maximum number of steps in binomial trees and unlimited maximum number of trials and time intervals in Monte carlo simulations;
exotic option support: Asian average price, binary cash-or-nothing and asset-or-nothing, chooser option;

Download at http://www.atomproject.org/download.shtml


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