QuantLib 0.3.11
Getting started
Reference manual
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BlackFormula Class Reference#include <ql/PricingEngines/blackformula.hpp>
List of all members.
Detailed Description
Black-formula calculator.
- Bug:
- When the variance is null, division by zero occur during the calculation of delta, delta forward, gamma, gamma forward, rho, dividend rho, vega, and strike sensitivity.
- Examples:
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DiscreteHedging.cpp.
Member Function Documentation
Real itmCashProbability |
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const |
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Probability of being in the money in the bond martingale measure. It is a risk-neutral probability, not the real world probability. |
Real itmAssetProbability |
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const |
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Probability of being in the money in the asset martingale measure. It is a risk-neutral probability, not the real world probability. |
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