European Option Pricer

European Vanilla Call and Put Option pricing and Implied Volatility calculation in C++

Installation

Add EuropeanVanilla.h and EuropeanVanilla.cpp in your project.

Option Price and Greeks Example

The 'UpdatePriceAndGreeks' method gives prices, deltas, gammas, thetas, and vegas of both call and put option

double StrikePrice = 20;
EuropeanVanilla pricer(StrikePrice); // class object requires strike price

double StockPrice = 15;
double DaysToExpiry = 30;
double InterestRate = 0.05;
double Volatility = 0.2;

pricer.UpdatePriceAndGreeks(StockPrice, InterestRate, DaysToExpiry, Volatility); // calculate price and greeks and updates public members

Option Price

cout << pricer.CallPrice << endl;
cout << pricer.PutPrice << endl;

Option Delta

cout << pricer.CallDelta << endl;
cout << pricer.PutDelta << endl;

Option Gamma

cout << pricer.CallGamma << endl;
cout << pricer.PutGamma << endl;

Option Theta

cout << pricer.CallTheta << endl;
cout << pricer.PutTheta << endl;

Option Vega

cout << pricer.CallVega << endl;
cout << pricer.PutVega << endl;

Implied Volatility Example

The class implements Newton-Raphson method which converges faster

cout << "Call IV: " << pricer.ImpliedVolatility(StockPrice, InterestRate, DaysToExpiry, CallPrice, 'C') << endl;

cout << "Put IV: " << pricer.ImpliedVolatility(StockPrice, InterestRate, DaysToExpiry, PutPrice, 'P') << endl;