BlackModel Class Reference
#include <ql/PricingEngines/blackmodel.hpp>
Inheritance diagram for BlackModel:

Detailed Description
Black-model for vanilla interest-rate derivatives.
Public Member Functions | |
BlackModel (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure) | |
void | update () |
Volatility | volatility () const |
const Handle< YieldTermStructure > & | termStructure () const |
Static Public Member Functions | |
static Real | formula (Real f, Real k, Real v, Real w) |
General Black formula. | |
static Real | itmProbability (Real f, Real k, Real v, Real w) |
In-the-money cash probability. |
Member Function Documentation
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This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes. Implements Observer. |
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General Black formula. Returns
where
and
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In-the-money cash probability. Returns
where
and
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