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Sourcecode: quantlib version File versions  Download package

blackformula.hpp File Reference


Detailed Description

Black formula.

Definition in file blackformula.hpp.

#include <ql/option.hpp>
#include <ql/instruments/payoffs.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Functions

Real QuantLib::bachelierBlackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount)
Real QuantLib::bachelierBlackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount)
Real QuantLib::blackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement)
Real QuantLib::blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount, Real displacement)
Real QuantLib::blackFormulaCashItmProbability (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement)
Real QuantLib::blackFormulaCashItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement)
Real QuantLib::blackFormulaImpliedStdDev (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount, Real displacement, Real guess, Real accuracy, Natural maxIterations)
Real QuantLib::blackFormulaImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount, Real displacement, Real guess, Real accuracy, Natural maxIterations)
Real QuantLib::blackFormulaImpliedStdDevApproximation (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount, Real displacement)
Real QuantLib::blackFormulaImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount, Real displacement)
Real QuantLib::blackFormulaStdDevDerivative (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement)
Real QuantLib::blackFormulaStdDevDerivative (Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real QuantLib::blackFormulaVolDerivative (Real strike, Real forward, Real stdDev, Real expiry, Real discount=1.0, Real displacement=0.0)


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