{"repo":"kingofknights/Greeks","free":true,"listed":false,"github":"https://github.com/kingofknights/Greeks","clone":"git clone https://github.com/kingofknights/Greeks.git","description":"Option price calculation based on Black Scholes equation","language":"C++","stars":18,"topics":["greeks","hft-trading","options-pricing","trading"],"license":"BSL-1.0","category":"trading","readme_excerpt":"Option Price Calculation based on Black-Scholes Equation This project focuses on implementing option price calculation using the Black-Scholes equation. The Black-Scholes model is a widely used mathematical formula for calculating the theoretical price of options. It takes into account factors such as the underlying asset's price, strike price, volatility, risk-free interest rate, and time to expiration. Functions The project provides several functions for option price calculation and related metrics: GetDelta : Calculates the option's delta, which represents the sensitivity of the option price to changes in the underlying asset price. Parameters include the asset price (s), strike price (k), volatility (v), risk-free interest rate (r), time to expiration (t), and a boolean flag (IsCall) indicating whether the option is a call option. GetGamma : Calculates the option's gamma, which measures the rate of change of the option's delta. It indicates the curvature of the option price with respect to changes in the underlying asset price. GetVega : Calculates the option's vega, which represents the sensitivity of the option price to changes in volatility. Higher vega values indicate a greater impact of volatility changes on the option price. GetRho : Calculates the option's rho, which measures the sensitivity of the option price to changes in the risk-free interest rate. GetTheta : Calculates the option's theta, which represents the rate of change of the option price with respect to","default_branch":null,"files":null,"tree":[],"storefront":"/r/kingofknights","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/kingofknights/Greeks/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}