35                                                             Sigma const& sigma,  in black_scholes_option_price()  argument
39   auto const d1 = (log(S / K) + (r + sigma * sigma / 2) * tau) / (sigma * sqrt(tau));  in black_scholes_option_price()
40   auto const d2 = (log(S / K) + (r - sigma * sigma / 2) * tau) / (sigma * sqrt(tau));  in black_scholes_option_price()
55   auto const& sigma = std::get<1>(variables);  // Volatility.  in main()  local
58   auto const call_price = black_scholes_option_price(CP::call, K, S, sigma, tau, r);  in main()
59   auto const put_price = black_scholes_option_price(CP::put, K, S, sigma, tau, r);  in main()
61 …double const d1 = static_cast<double>((log(S / K) + (r + sigma * sigma / 2) * tau) / (sigma * sqrt…  in main()
62 …double const d2 = static_cast<double>((log(S / K) + (r - sigma * sigma / 2) * tau) / (sigma * sqrt…  in main()
67 …    static_cast<double>(-S * phi(d1) * sigma / (2 * sqrt(tau)) - r * K * exp(-r * tau) * Phi(+d2));  in main()
69 …    static_cast<double>(-S * phi(d1) * sigma / (2 * sqrt(tau)) + r * K * exp(-r * tau) * Phi(-d2));  in main()
72   double const formula_gamma = static_cast<double>(phi(d1) / (S * sigma * sqrt(tau)));  in main()
73   double const formula_vanna = static_cast<double>(-phi(d1) * d2 / sigma);  in main()
75 …static_cast<double>(phi(d1) * (d2 * sigma * sqrt(tau) - 2 * r * tau) / (2 * tau * sigma * sqrt(tau…  in main()
76   double const formula_vomma = static_cast<double>(S * phi(d1) * sqrt(tau) * d1 * d2 / sigma);  in main()
78 …                                       (r * d1 / (sigma * sqrt(tau)) - (1 + d1 * d2) / (2 * tau)));  in main()
80       static_cast<double>(-phi(d1) * (d1 / (sigma * sqrt(tau)) + 1) / (S * S * sigma * sqrt(tau)));  in main()
81 …double const formula_zomma = static_cast<double>(phi(d1) * (d1 * d2 - 1) / (S * sigma * sigma * sq…  in main()
83       static_cast<double>(-phi(d1) / (2 * S * tau * sigma * sqrt(tau)) *  in main()
84                           (1 + (2 * r * tau - d2 * sigma * sqrt(tau)) * d1 / (sigma * sqrt(tau))));  in main()
86 …ormula_vega * static_cast<double>((d1 * d2 * (1 - d1 * d2) + d1 * d1 + d2 * d2) / (sigma * sigma));  in main()