blackdeltautilities.hpp File Reference

utilities to calculate strikes from deltas and atm strikes on smiles More...

#include <ql/experimental/fx/deltavolquote.hpp>
#include <ql/option.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

Go to the source code of this file.

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)

Detailed Description

utilities to calculate strikes from deltas and atm strikes on smiles

Definition in file blackdeltautilities.hpp.