Theoretical Option Value Script

meanVelocity

meanVelocity

Hi, I am looking for source code for a theoretical options value calculator/script in any platform language. I need a options theoretical value script for SierraChart to plot theoretical value, and can't find one... So, going to try to find one to convert! Anyone know of one?
 
I did manage to find this... This look correct? As for volatility... Not sure what to do. Will synthetic Vix work? I don't need perfect accuracy... Just something that follows close to theoretical.

Code: 
//S= Stock price

//X=Strike price

//T=Years to maturity

//r= Risk-free rate

//v=Volatility

//The Black-Scholes Model is a formula for calculating the fair value of an option contract, where an option is a derivative whose value is based on some underlying asset.
 

#ifndef Pi
#define Pi 3.141592653589793238462643
#endif

// The Black and Scholes (1973) Stock option formula in C++
double BlackScholes(char CallPutFlag, double S, double X, double T, double r, double v)
{
double d1, d2;


d1=(log(S/X)+(r+v*v/2)*T)/(v*sqrt(T));
d2=d1-v*sqrt(T);

if(CallPutFlag == 'c')
return S *CND(d1)-X * exp(-r*T)*CND(d2);
else if(CallPutFlag == 'p')
return X * exp(-r * T) * CND(-d2) - S * CND(-d1);
}

// The cumulative normal distribution function
double CND( double X )
{

double L, K, w ;

double const a1 = 0.31938153, a2 = -0.356563782, a3 = 1.781477937;
double const a4 = -1.821255978, a5 = 1.330274429;

L = fabs(X);
K = 1.0 / (1.0 + 0.2316419 * L);
w = 1.0 - 1.0 / sqrt(2 * Pi) * exp(-L *L / 2) * (a1 * K + a2 * K *K + a3 * pow(K,3) + a4 * pow(K,4) + a5 * pow(K,5));

if (X < 0 ){
w= 1.0 - w;
}
return w;
}
 
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