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I have finally written my option pricing DLL. It provides a function to
calculate an option's Theoretical Value (slow) and another function to
calculate an option's Implied Volatility (very slow). Adding more
functions (eg. the greeks) shouldn't be too hard.
If anyone wants a copy, let me know, or give me simple (:-) instructions
on how to upload it to the 3rd party site. I am offering the DLL, two
sample indicators, and the source code (VC++). The documentation
consists of comments in the indicators' code only - if you don't understand
options, this DLL probably isn't for you.
TJ, is there any way to have a plugin return multiple values? Could it
be done by passing in arguments that the plugin modifies? Would this
work for arrays and simple values? I ask this because the IV calculation
effectively calculates delta, and adding some/all of the other greeks
should be trivial as well, but calling multiple functions is toooo sloooow
(since, for example, the IV calculation uses a simple form of Newton-
Raphson, which calculates the TV 3 - 4 times on average, each of which
is already fairly "expensive").
Even if a plugin can return multiple values, could they be displayed in
different graphs/panes? Displaying the IV and the TV in the same pane
is pointless since their scales are so different (though you probably have
some clever way of fixing that? :-).
Regards,
Matt Atterbury (mailto:matt@x...)
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