Initial commit

src/black_scholes.c

@@ -0,0 +1,32 @@
+#define _XOPEN_SOURCE
+
+#include "black_scholes.h"
+#include <cblas.h>
+#include <math.h>
+#include <stdio.h>
+#include <string.h>
+#include <time.h>
+#include <unistd.h>
+
+double normalcdf(double value)
+{
+	return 0.5 * erfc(-value * M_SQRT1_2);
+}
+
+double bsm(double spot, double rfr, double vol, double strike,
+		struct tm expiry, struct tm value, int type)
+{
+	double d1, d2, tte, price;
+	time_t value_date, expiry_date;
+
+	expiry_date = mktime(&expiry);
+	value_date = mktime(&value);
+	tte = difftime(expiry_date, value_date) / (60 * 60 * 24 * 365);
+	d1 = log(spot / strike) + tte * (rfr + pow(vol, 2) / 2)
+		/ (vol * pow(tte, 0.5));
+	d2 = d1 - (vol * pow(tte, 0.5));
+
+	price = spot * normalcdf(d1 * type) * type -
+		strike * exp(-rfr * tte) * normalcdf(d2 * type) * type;
+	return price;
+}