ql/PricingEngines/blackmodel.hpp File Reference


Detailed Description

Abstract class for Black-type models (market models).

#include <ql/yieldtermstructure.hpp>
#include <ql/quote.hpp>
#include <ql/Math/normaldistribution.hpp>

Include dependency graph for blackmodel.hpp:


Namespaces

namespace  QuantLib

Classes

class  BlackModel
 Black-model for vanilla interest-rate derivatives. More...