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Matt,
I'd love to have it, especially if you add all the greeks (delta beingthe
most important). What do you mean by 'slow' and 'very slow'? Is it dependent on
the clock speed of your PC?
Thanks.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Matt Atterbury
To: <A title=amibroker@xxxxxxxxxx
href="">AmiBroker
Sent: Saturday, October 12, 2002 5:19
AM
Subject: [amibroker] Option Pricing
DLL
I have finally written my option pricing DLL. It provides a
function tocalculate an option's Theoretical Value (slow) and another
function tocalculate an option's Implied Volatility (very slow). Adding
morefunctions (eg. the greeks) shouldn't be too hard.If anyone
wants a copy, let me know, or give me simple (:-) instructionson how to
upload it to the 3rd party site. I am offering the DLL, twosample
indicators, and the source code (VC++). The documentationconsists of
comments in the indicators' code only - if you don't understandoptions,
this DLL probably isn't for you.TJ, is there any way to have a plugin
return multiple values? Could itbe done by passing in arguments that the
plugin modifies? Would thiswork for arrays and simple values? I ask this
because the IV calculationeffectively calculates delta, and adding
some/all of the other greeksshould 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 whichis already fairly "expensive").Even if a
plugin can return multiple values, could they be displayed indifferent
graphs/panes? Displaying the IV and the TV in the same paneis pointless
since their scales are so different (though you probably havesome clever
way of fixing that? :-).Regards,Matt Atterbury
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