A free/open-source library for quantitative finance
Version 0.8.1
Getting started
Introduction
Project overview
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Installation
Configuration
Usage
Version history
Additional resources
The QuantLib group
Copyright and license
Reference manual
Modules
Class Hierarchy
Compound List
File List
Compound Members
File Members
Todo List
Known Bugs
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Test Suite
Deprecated Features
Examples
BlackScholesCalculator Member List
This is the complete list of members for
BlackScholesCalculator
, including all inherited members.
alpha
() const (defined in
BlackCalculator
)
BlackCalculator
alpha_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
beta
() const (defined in
BlackCalculator
)
BlackCalculator
beta_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
BlackCalculator
(const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) (defined in
BlackCalculator
)
BlackCalculator
BlackScholesCalculator
(const boost::shared_ptr< StrikedTypePayoff > &payoff, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount) (defined in
BlackScholesCalculator
)
BlackScholesCalculator
cum_d1_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
cum_d2_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
D1_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
D2_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
DalphaDd1_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
DbetaDd2_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
delta
() const
BlackScholesCalculator
QuantLib::BlackCalculator::delta
(Real spot) const
BlackCalculator
[virtual]
deltaForward
() const
BlackCalculator
discount_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
dividendRho
(Time maturity) const
BlackCalculator
DXDs_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
DXDstrike_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
elasticity
() const
BlackScholesCalculator
QuantLib::BlackCalculator::elasticity
(Real spot) const
BlackCalculator
[virtual]
elasticityForward
() const
BlackCalculator
forward_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
gamma
() const
BlackScholesCalculator
QuantLib::BlackCalculator::gamma
(Real spot) const
BlackCalculator
[virtual]
gammaForward
() const
BlackCalculator
growth_
(defined in
BlackScholesCalculator
)
BlackScholesCalculator
[protected]
itmAssetProbability
() const
BlackCalculator
itmCashProbability
() const
BlackCalculator
n_d1_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
n_d2_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
rho
(Time maturity) const
BlackCalculator
spot_
(defined in
BlackScholesCalculator
)
BlackScholesCalculator
[protected]
stdDev_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
strike_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
strikeSensitivity
() const
BlackCalculator
theta
(Time maturity) const
BlackScholesCalculator
QuantLib::BlackCalculator::theta
(Real spot, Time maturity) const
BlackCalculator
[virtual]
thetaPerDay
(Time maturity) const
BlackScholesCalculator
QuantLib::BlackCalculator::thetaPerDay
(Real spot, Time maturity) const
BlackCalculator
[virtual]
value
() const (defined in
BlackCalculator
)
BlackCalculator
variance_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
vega
(Time maturity) const
BlackCalculator
X_
(defined in
BlackCalculator
)
BlackCalculator
[protected]
~BlackCalculator
() (defined in
BlackCalculator
)
BlackCalculator
[virtual]
~BlackScholesCalculator
() (defined in
BlackScholesCalculator
)
BlackScholesCalculator
[virtual]