QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
BlackDeltaCalculator Class Reference

Black delta calculator class. More...

#include <ql/experimental/fx/blackdeltacalculator.hpp>

Public Member Functions

 BlackDeltaCalculator (Option::Type ot, DeltaVolQuote::DeltaType dt, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Real stdDev)
 
Real deltaFromStrike (Real strike) const
 
Real strikeFromDelta (Real delta) const
 
Real cumD1 (Real strike) const
 
Real cumD2 (Real strike) const
 
Real nD1 (Real strike) const
 
Real nD2 (Real strike) const
 
void setDeltaType (DeltaVolQuote::DeltaType dt)
 
void setOptionType (Option::Type ot)
 
Real atmStrike (DeltaVolQuote::AtmType atmT) const
 

Detailed Description

Black delta calculator class.

Class includes many operations needed for different applications in FX markets, which has special quoation mechanisms, since every price can be expressed in both numeraires.