blackdeltautilities.cpp File Reference

#include <qle/termstructures/blackdeltautilities.hpp>
#include <ql/experimental/fx/blackdeltacalculator.hpp>

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Namespaces
namespace	QuantExt

Functions
Real	getStrikeFromDelta (Option::Type optionType, Real delta, DeltaVolQuote::DeltaType dt, Real spot, Real domDiscount, Real forDiscount, QuantLib::ext::shared_ptr< BlackVolTermStructure > vol, Real t, Real accuracy, Size maxIterations)
Real	getAtmStrike (DeltaVolQuote::DeltaType dt, DeltaVolQuote::AtmType at, Real spot, Real domDiscount, Real forDiscount, QuantLib::ext::shared_ptr< BlackVolTermStructure > vol, Real t, Real accuracy, Size maxIterations)