ql/pricingengines/blackformula.hpp File Reference
Detailed Description
Black formula.
#include <ql/option.hpp>
#include <ql/instruments/payoffs.hpp>
Include dependency graph for blackformula.hpp:

Namespaces | |
namespace | QuantLib |
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 guess=Null< Real >(), Real accuracy=1.0e-6, Real displacement=0.0) |
Real | blackFormulaImpliedStdDev (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Real displacement=0.0) |
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 | 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) |