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blackformula.hpp
Langue: en
Version: 378190 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/blackformula.hpp -Black formula.
SYNOPSIS
#include <ql/option.hpp>
#include <ql/instruments/payoffs.hpp>
Functions
Real blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real blackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real blackFormulaImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0)
Real blackFormulaImpliedStdDevApproximation (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0)
Real blackFormulaImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100)
Real blackFormulaImpliedStdDev (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100)
Real blackFormulaCashItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement=0.0)
Real blackFormulaCashItmProbability (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement=0.0)
Real blackFormulaStdDevDerivative (Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real blackFormulaVolDerivative (Real strike, Real forward, Real stdDev, Real expiry, Real discount=1.0, Real displacement=0.0)
Real blackFormulaStdDevDerivative (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real bachelierBlackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0)
Real bachelierBlackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0)
Detailed Description
Black formula.
Author
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