Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

Real QuantLib::blackFormulaVolDerivative ( Real  strike,
Real  forward,
Real  stdDev,
Real  expiry,
Real  discount = 1.0,
Real  displacement = 0.0 
)

Black 1976 formula for derivative with respect to implied vol, this is basically the vega, but if you want 1% change multiply by 1%


Generated by  Doxygen 1.6.0   Back to index