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blackmodel.hpp File Reference


Detailed Description

Abstract class for Black-type models (market models).

Definition in file blackmodel.hpp.

#include <ql/yieldtermstructure.hpp>
#include <ql/quote.hpp>
#include <ql/Math/normaldistribution.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib
namespace  QuantLib::detail

Classes

class  QuantLib::BlackModel
 Black-model for vanilla interest-rate derivatives. More...

Functions

Real QuantLib::detail::blackFormula (Real f, Real k, Real v, Real w)
Real QuantLib::detail::itmBlackProbability (Real f, Real k, Real v, Real w)


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