Black and Schole Option Pricer with C++

This code has been written to calculate option price with C++ Programming language.

Why C++ ?

C++ because it is much more low latency in calculating Implied volatility by solver methods than another language.

FrameWork:

Option Class : Create an object Option with his caracteristics:
    - Strike Price 
    - Time to maturity : In years
    - Option Type : "c" for call / "p" for put
    - Another attribute is "market_quote" : You can set this attributes using his setter and this 
    attribute is used to solve implied volatility
    - Basis : Number days in the year in order to compute the value of one day to compute theta
Asset Class : Create an object Asset with his caracteristics:
    - Volatility
    - Rick free Rate of returns
    - Name
    - Current Price : Spot
Module : Implied Solver
    - This module contains function used to solve implied volatility from european market quote
Module : Pricer Black and scholes
    - This module contains function used to price options
Module : Normal Distribution
    - This module contains Class NormalDist which is used in order to compute stats from normal distribution

Example (same as in the main.cpp):

#include <iostream>

#include "OptionObject.h"
#include "AssetObject.h"
#include "PricerBlackScholes.h"
#include "ImpliedSolver.h"
#include "Greeks.h"

int main(int argc, const char * argv[]) {
    
    //Setup Put/Call and an asset
    Option europeanCall("c",0.5,350,365);
    Option europeanPut("p",0.5,350,365);
    Asset goldmanSachs("The Goldman Sachs Group",348.83,0.0145,0.25);
    
    std::cout<<"================ "<< goldmanSachs.assetName()<<" ================"<<std::endl;
    std::cout<<"========================================================="<<std::endl;
    
    std::cout << "Current Stock Price is: "<<goldmanSachs.currentPrice()<<" $"<<std::endl;
    
    // Calculate Call
    std::cout << "Price of the call is: "<<optionPrice(europeanCall,  goldmanSachs)<<std::endl;

    // Calculate Put
    std::cout << "Price of the put is: "<<optionPrice(europeanPut,  goldmanSachs)<<std::endl;

    // Set Market quote in order to solve volatility
    europeanCall.setMarketQuote(7.05);
    europeanPut.setMarketQuote(6.03);
    
    // Solve implied Volatility
    
    std::cout<<"Implied Volatility of the call is: "<<vanillaImpliedVolatility(europeanCall, goldmanSachs) <<std::endl;
    std::cout<<"Implied Volatility of the put is: "<<vanillaImpliedVolatility(europeanPut, goldmanSachs) <<std::endl;
    
    // Compute Delta
    std::cout<<"Delta of the put is: "<<delta(europeanPut, goldmanSachs) <<std::endl;
    std::cout<<"Delta of the call is: "<<delta(europeanCall, goldmanSachs) <<std::endl;
    
    // Compute Gamma
    std::cout<<"Gamma is: "<<gamma(europeanPut, goldmanSachs) <<std::endl;
    
    // Compute Vega
    std::cout<<"Vega is: "<<vega(europeanPut, goldmanSachs) <<std::endl;
    
    // Compute Rho
    std::cout<<"Rho of the put is: "<<rho(europeanPut, goldmanSachs) <<std::endl;
    std::cout<<"Rho of the call is: "<<rho(europeanCall, goldmanSachs) <<std::endl;
    
    // Compute Theta
    std::cout<<"Theta of the put is: "<<theta(europeanPut, goldmanSachs) <<std::endl;
    std::cout<<"Theta of the call is: "<<theta(europeanCall, goldmanSachs) <<std::endl;
    
    return 0;
}
Output Will be :


================ The Goldman Sachs Group ================
=========================================================
Current Stock Price is: 348.83 $
Price of the call is: 25.2061
Price of the put is: 23.8478
Implied Volatility of the call is: 0.0646389
Implied Volatility of the put is: 0.0680967
Delta of the put is: -0.459952
Delta of the call is: 0.540048
Gamma is: 0.00638371
Vega is: 0.970981
Rho of the put is: -0.914611
Rho of the call is: 0.822747
Theta of the put is: -0.0674986
Theta of the call is: -0.0674524