This is an option pricing library that was created in 1996 to implement common option pricing formulas. It was distributed as freeware in order to build a consulting practice in the energy industry.
| Directory | Contents |
|---|---|
| /doc | Documentation on the various option pricing functions |
| /example | An example spreadsheet demonstrating the different formulas |
| /src | Option pricing source code |
| /tests | Tests to validate the option pricing code |
You will probably want to use this as inspiration for your own option pricing functions or tools. In the original product, there were bindings to attach these functions to Excel as an add-in. But, this code was fussy and Windows specific so has not been included.