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Other Algorithms
You will find various code / algorithm snippets on this page which can be useful when building up your own finance programs.
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Menu: VBA | C | C++ | C# | Perl | Fortran | Mathematica | Matlab | Other
> VBA functions
- Bivariate Cumulative Normal Distribution
(As given by Hull, etc)
- Black & Scholes European Option Greeks
(Functions for calculating delta, gamma, theta, vega and rho for a European Option)
- Cumulative Normal Distribution
(Although pre-defined within Excel, this shows the manual approach of the CND)
- Non-Central Chi-Squared Distribution
(This is as given by Ding in his 1992 paper)
- Normal Distribution
(A very simple function to define a Normal Distribution in VBA (normally .NormSDist in Excel))
- Trivariate Cumulative Normal Distribution
(Coming soon)
- van der Corput sequence, in base x - where x is user defined.
(Commonly used for low discrepancy random number generation)
> C
> C++
> C#
> Perl
> Java
> Fortran
- Bivariate Cumulative Normal Distribution
(From Numerical Computation of Bivariate and Trivariate Normal Probabilities, Alan Genz)
> Other |
