exactbachelierimpliedvolatility.hpp File Reference

implied bachelier volatility based on Jaeckel, Implied Normal Volatility, 2017 More...

#include <ql/types.hpp>
#include <ql/option.hpp>

Go to the source code of this file.

Namespaces
namespace	QuantExt

Functions
Real	exactBachelierImpliedVolatility (Option::Type optionType, Real strike, Real forward, Real tte, Real bachelierPrice, Real discount)

Detailed Description

implied bachelier volatility based on Jaeckel, Implied Normal Volatility, 2017

Definition in file exactbachelierimpliedvolatility.hpp.