This project relies on the following direct external tools and libraries. Transitive dependencies are resolved by vcpkg and by the upstream packages.
-
CMake >= 3.22
https://cmake.org
License: BSD 3-Clause
Citation:CMakein citations.bib -
vcpkg (manifest mode)
https://github.com/microsoft/vcpkg
License: MIT
Citation:Vcpkgin citations.bib
The package manifest is vcpkg.json.
- Boost.Math — Special mathematical functions
https://www.boost.org/doc/libs/release/libs/math/doc/html/index.html
License: Boost Software License 1.0
Used for special functions in numerical integration code.
Citation:BoostMathin citations.bib
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NLopt — Nonlinear optimization
https://github.com/stevengj/nlopt
License: GNU LGPL
Citation:JohnsonNLoptin citations.bib -
Ceres Solver — Nonlinear least-squares optimization
https://github.com/ceres-solver/ceres-solver
License: See upstream LICENSE file
Citation:Agarwal2023Ceresin citations.bib
- Let’s Be Rational — Robust Black–Scholes implied volatility
Author: Peter Jäckel
https://github.com/vollib/lets_be_rational
License: Custom permissive license; copyright notice must be preserved
Citation:Jaeckel2015LetsBeRationalin citations.bib
- GoogleTest — C++ unit, integration, regression, and performance tests
https://github.com/google/googletest
License: BSD 3-Clause
Used only by the test targets undertests/.
Citation:GoogleTestin citations.bib
This project includes the Let’s Be Rational implementation by Peter Jäckel, used to compute Black–Scholes implied volatility with full double-precision accuracy and guaranteed convergence.
The library is included as a git submodule and built as part of this project. The original copyright notice is preserved in accordance with the license.
All third-party libraries remain the property of their respective authors. Users are responsible for complying with the corresponding license terms.