ql/pricingengines/blackformula.hpp File Reference

Black formula. More...

Include dependency graph for blackformula.hpp:

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 displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100)
Real blackFormulaImpliedStdDev (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100)
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 blackFormulaVolDerivative (Real strike, Real forward, Real stdDev, Real expiry, 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)

Detailed Description

Black formula.