Option Explicit
Global Const Pi = 3.141592653589

'**********************************************************************************
' http://www.global-derivatives.com - for all your resources
'Black & Scholes Call Delta Function
Public Function BSDelta_C(S As Double, x As Double, D As Double, r As Double, V As Double, T As Double)

Dim dt As Double, d1 As Double, Nd1 As Double

dt = V * Sqr(T)
d1 = (Log(S / x) + (r - D + 0.5 * V ^ 2) * T) / dt
Nd1 = Norm(d1)

BSDelta_C = Nd1 * Exp(-D * T)

End Function

'**********************************************************************************
'Black & Scholes Put Delta Function
Public Function BSDelta_P(S As Double, x As Double, D As Double, r As Double, V As Double, T As Double)

Dim dt As Double, d1 As Double, Nd1 As Double

dt = V * Sqr(T)
d1 = (Log(S / x) + (r - D + 0.5 * V ^ 2) * T) / dt
Nd1 = Norm(d1)

BSDelta_P = (Nd1 - 1) *Exp(-D*T)

End Function

'**********************************************************************************
'Black & Scholes Gamma Function
Public Function BSGamma_CP(S As Double, x As Double, D As Double, r As Double, V As Double, T As Double)

Dim dt As Double, d1 As Double, NN1 As Double

dt = V * Sqr(T)
d1 = (Log(S / x) + (r - D + 0.5 * V ^ 2) * T) / dt
NN1 = (1 / Sqr(2 * Pi) * Exp(-0.5 * d1 ^ 2))


BSGamma_CP = (NN1 * Exp(-D * T)) / (S * dt)

End Function

'**********************************************************************************
'Black & Scholes Call Theta Function
Public Function BSTheta_C(S As Double, x As Double, D As Double, r As Double, V As Double, T As Double)

Dim dt As Double, d1 As Double, d2 As Double, Nd1 As Double, Nd2 As Double, NN1 As Double

dt = V * Sqr(T)
d1 = (Log(S / x) + (r - D + 0.5 * V ^ 2) * T) / dt
Nd1 = Norm(d1)
d2 = d1 - dt
Nd2 = Norm(d2)
NN1 = (1 / Sqr(2 * Pi) * Exp(-0.5 * d1 ^ 2))

BSTheta_C = -((S * NN1 * Exp(-D * T) * V) / (2 * Sqr(T))) + (D * S * Nd1 * Exp(-D * T)) - (r * x * Exp(-r * T) * Nd2)

End Function

'**********************************************************************************
'Black & Scholes Put Theta Function
Public Function BSTheta_P(S As Double, x As Double, D As Double, r As Double, V As Double, T As Double)

Dim dt As Double, d1 As Double, d2 As Double, NNd1 As Double, NNd2 As Double, NN1 As Double

dt = V * Sqr(T)
d1 = (Log(S / x) + (r - D + 0.5 * V ^ 2) * T) / dt
NNd1 = Norm(-d1)
d2 = d1 - dt
NNd2 = Norm(-d2)
NN1 = (1 / Sqr(2 * Pi) * Exp(-0.5 * d1 ^ 2))

BSTheta_P = -((S * NN1 * V * Exp(-D * T)) / (2 * Sqr(T))) - (D * S * NNd1 * Exp(-D * T)) + (r * x * Exp(-r * T) * NNd2)

End Function

'**********************************************************************************
'Black & Scholes Vega Function
Public Function BSVega_CP(S As Double, x As Double, D As Double, r As Double, V As Double, T As Double)

Dim dt As Double, d1 As Double, NN1 As Double

dt = V * Sqr(T)
d1 = (Log(S / x) + (r - D + 0.5 * V ^ 2) * T) / dt
NN1 = (1 / Sqr(2 * Pi) * Exp(-0.5 * d1 ^ 2))

BSVega_CP = S * Sqr(T) * NN1 * Exp(-D * T)

End Function

'**********************************************************************************
'Black & Scholes Call Rho Function
Public Function BSRho_C(S As Double, x As Double, D As Double, r As Double, V As Double, T As Double)

Dim dt As Double, d1 As Double, d2 As Double, Nd2 As Double

dt = V * Sqr(T)
d1 = (Log(S / x) + (r - D + 0.5 * V ^ 2) * T) / dt
d2 = d1 - dt
Nd2 = Norm(d2)


BSRho_C = x * T * Exp(-r * T) * Nd2

End Function

'**********************************************************************************
'Black & Scholes Put Rho Function
Public Function BSRho_P(S As Double, x As Double, D As Double, r As Double, V As Double, T As Double)

Dim dt As Double, d1 As Double, d2 As Double, NNd2 As Double

dt = V * Sqr(T)
d1 = (Log(S / x) + (r - D + 0.5 * V ^ 2) * T) / dt
d2 = d1 - dt
NNd2 = Norm(-d2)

BSRho_P = -x * T * Exp(-r * T) * NNd2

End Function


'**********************************************************************************
'Black & Scholes Call Rho2 Function
Public Function BSRho2_C(S As Double, X As Double, D As Double, r As Double, V As Double, T As Double)

Dim dt As Double, d1 As Double, d2 As Double, Nd1 As Double

dt = V * Sqr(T)
d1 = (Log(S / X) + (r - D + 0.5 * V ^ 2) * T) / dt
Nd1 = Norm(d1)

BSRho2_C = -S * Exp(-D * T) * T * Nd1

End Function

'**********************************************************************************
'Black & Scholes Put Rho2 Function
Public Function BSRho2_P(S As Double, X As Double, D As Double, r As Double, V As Double, T As Double)

Dim dt As Double, d1 As Double, d2 As Double, Nd1 As Double

dt = V * Sqr(T)
d1 = (Log(S / X) + (r - D + 0.5 * V ^ 2) * T) / dt
Nd1 = Norm(-d1)

BSRho2_P = S * Exp(-D * T) * T * Nd1

End Function

'**********************************************************************************

Public Function Norm(x As Double)

Norm = Application.WorksheetFunction.NormSDist(x)

End Function