Created
February 13, 2013 10:34
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MATLAB and OpenGamma 1
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| function r = MatlabBlackScholes(isCall, Price, Strike, Rate, Time, Volatility, Yield) | |
| [Call, Put] = blsprice(Price, Strike, Rate, Time, Volatility, Yield); | |
| if isCall | |
| r = Call; | |
| else | |
| r = Put; | |
| end | |
| end |
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