Boost Math

Coordinator
Oct 2, 2011 at 3:01 AM

I've made a first cut at incorporating the Boost Math library into the xllbms library. It is not possible to write global template functions with default parameters in C++ so the technique seems to be to write a class with static functions that can use the class template parameters. This actually might be a good thing if you want to use XML markup and write C++/CLI code that can also be compiled with the /clr parameter in order to generate documentation that Sandcastle can use.

Coordinator
Oct 2, 2011 at 3:38 PM

Got the implied volatility working with the Boost bracket_and_solve_root. It is now a one-liner and  should work for digitals too. Or maybe not. Vega is not always positive so the fourth argument will have to be changed to false for certain vol ranges.