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Mar 11

c++ for finance

Posted by abiao at 18:03 | Code » C++ | Comments(0) | Reads(11254)
A c++ class list for finance, specifically, a derivative calculator source code, is available, including:

american_option_approximation: uses the Black Scholes formulae for European options, to approximate the values of American options.

american_option_fudge: approximates the value of American Options as the value of the corresponding European option, plus the addition of a fudge factor

binomial_option: typical binomial tree to price option value

Bisection_Secant< functor, real > : This class is a child class of Bisection. The algorithm converges faster because it changes from the bisection to the secant algorithm /// on every other iteration  

european_option_pair : Black Scholes option pricing formulae for puts and calls  


Click for more and downloading http://acumenconsultinginc.net/TechNotes/public_options/html/annotated.html

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