ql/PricingEngines/blackmodel.hpp File Reference


Detailed Description

Black formula and associated functions.

#include <ql/option.hpp>
#include <ql/Math/normaldistribution.hpp>

Include dependency graph for blackmodel.hpp:


Namespaces

namespace  QuantLib
namespace  QuantLib::detail

Functions

Real blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev)
Real blackImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice)
Real blackImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real guess=Null< Real >(), Real accuracy=1.0e-6)
Real blackItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev)
Real blackFormula (Real forward, Real strike, Real stdDev, Option::Type optionType)
Real itmBlackProbability (Real forward, Real strike, Real stdDev, Option::Type optionType)