Attribute VB_Name = "OptCalc"

'   spot - price of underlying
'   struck - strike price
'   sigm - volatility, annualized
'   r - free risk rate, , annualized
'   t - time to expiry, years

'   Underlying - futures

Function max(ByVal a As Double, ByVal b As Double)

' Maximum of a & b

    If a > b Then max = a Else max = b
End Function

Function NDD(ByVal x As Double) As Double

' Denisty normal distribution
' for OpenOffice.net
' Under Construction

' for MS Excel

    NDD = Application.WorksheetFunction.NormDist(x, 0, 1, 0)

End Function

Function NDA(ByVal x As Double) As Double

' Normal distribution aproach

' for OpenOffice.net

    Dim ax, t, D, p As Double
    If x > 10 Then
        N = 1
    ElseIf x < -10 Then
        N = 0
    Else
        ax = Sqr(x * x)
        t = 1 / (1 + 0.2316419 * ax)
        D = 0.3989423 * Exp(-0.5 * x * x)
        p = D * t * ((((1.330274 * t - 1.821256) * _
        t + 1.781478) * t - 0.3565638) * t + 0.3193815)
        'NDA = p
        If x > 0 Then NDA = 1 - p Else NDA = p
    End If

' for MS Excel
    NDA = Application.WorksheetFunction.NormDist(x, 0, 1, 1)

End Function

Function EFC(ByVal spot As Double, ByVal struck As Double, _
               ByVal sigm As Double, ByVal r As Double, _
               ByVal t As Double)

' European Vanilla Call Price Black-Scholes (Underlying - FUTURES)
    
    If t < 0 Then
        EFC = 0
    Else
        If t = 0 Then
            EFC = max(0, spot - struck)
        Else
            D = (Log(spot / struck) + (sigm * sigm / 2) * t) / (sigm * Sqr(t))
            EFC = Exp(-r * t) * (spot * (NDA(D)) - struck * (NDA(D - sigm * Sqr(t))))
        End If
    End If
End Function