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any tips for coding black scholes model with today's and expiration date?

Christopher lee

Joined
1/15/15
Messages
238
Points
28
So I know how to code it with days to expiry but am unsure as to how to code it using two separate dates, for instance, 9/14/04 to 3/21/14. Any advice would be great. Is there a similar problem in the c++ program? Thanks!
 
You mean you want the trading date to be 9/14/04 but the expiry of the option to be 3/21/14?
You'll need to use a date library and handle holidays appropriately to retrieve the DCF of the time to expiry?
 
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