Black Commodity Add-In

This future option uses a Black Future model for (Oil, Gas etc)  and incorporates all payment costs. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. The model provides the bid / ask spread and shows the Greeks Delta, Gamma, Vega, Theta, PITM (probability in the money), strike dependence, and varies second derivatives like Volga, Veta, Vanna and Charm. The model uses a continuous Zero-Coupon Yield Curve, a continuous dividend yield and a constant volatility to maturity. The model has continuous Zero-Coupon Yield Curve, continuous dividend yield and a constant volatility to maturity. There is no provision for a maturity volatility dependence or a volatility surface. Notice that the exercise dates can be a single day or can be a period of time like a month (oil)