QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Black delta calculator class. More...
#include <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 |
Private Member Functions | |
Real | strikeFromDelta (Real delta, DeltaVolQuote::DeltaType dt) const |
Private Attributes | |
DeltaVolQuote::DeltaType | dt_ |
Option::Type | ot_ |
DiscountFactor | dDiscount_ |
DiscountFactor | fDiscount_ |
Real | stdDev_ |
Real | spot_ |
Real | forward_ |
Integer | phi_ |
Real | fExpPos_ |
Real | fExpNeg_ |
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.
Definition at line 39 of file blackdeltacalculator.hpp.
BlackDeltaCalculator | ( | Option::Type | ot, |
DeltaVolQuote::DeltaType | dt, | ||
Real | spot, | ||
DiscountFactor | dDiscount, | ||
DiscountFactor | fDiscount, | ||
Real | stdDev | ||
) |
Definition at line 24 of file blackdeltacalculator.cpp.
Definition at line 54 of file blackdeltacalculator.cpp.
Definition at line 85 of file blackdeltacalculator.cpp.
Definition at line 216 of file blackdeltacalculator.cpp.
Definition at line 264 of file blackdeltacalculator.cpp.
Definition at line 247 of file blackdeltacalculator.cpp.
Definition at line 299 of file blackdeltacalculator.cpp.
void setDeltaType | ( | DeltaVolQuote::DeltaType | dt | ) |
Definition at line 316 of file blackdeltacalculator.cpp.
void setOptionType | ( | Option::Type | ot | ) |
Definition at line 320 of file blackdeltacalculator.cpp.
Real atmStrike | ( | DeltaVolQuote::AtmType | atmT | ) | const |
Definition at line 177 of file blackdeltacalculator.cpp.
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Definition at line 75 of file blackdeltacalculator.hpp.
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Definition at line 76 of file blackdeltacalculator.hpp.
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Definition at line 77 of file blackdeltacalculator.hpp.
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Definition at line 77 of file blackdeltacalculator.hpp.
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Definition at line 79 of file blackdeltacalculator.hpp.
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Definition at line 79 of file blackdeltacalculator.hpp.
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Definition at line 79 of file blackdeltacalculator.hpp.
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Definition at line 80 of file blackdeltacalculator.hpp.
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Definition at line 81 of file blackdeltacalculator.hpp.
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Definition at line 81 of file blackdeltacalculator.hpp.