A C++ library for options pricing and Greeks calculations using the Black-Scholes model. This library provides functionality for calculating option prices, Greeks (Delta, Gamma, Theta, Vega, Volga, Vanna), and implied volatility.
- Black-Scholes option pricing
- Greeks calculations (Delta, Gamma, Theta, Vega, Volga, Vanna)
- Implied volatility calculation
- Support for both Call and Put options
- Strategy analysis with multiple options
- Time-step analysis for option strategies
- C++17 compatible compiler
- CMake 3.15 or higher
- Boost library (tested with version 1.82.0)
- Clone the repository
- Configure with CMake:
cmake --preset=default- Build the project:
cmake --build buildThe built DLL will be available in the build/bin directory.