BlackDeltaCalculator Class Reference

Black delta calculator class. More...

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

Collaboration diagram for BlackDeltaCalculator:

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_

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.

Definition at line 39 of file blackdeltacalculator.hpp.

Constructor & Destructor Documentation

BlackDeltaCalculator()

BlackDeltaCalculator	(	Option::Type	ot,
		DeltaVolQuote::DeltaType	dt,
		Real	spot,
		DiscountFactor	dDiscount,
		DiscountFactor	fDiscount,
		Real	stdDev
	)

Definition at line 24 of file blackdeltacalculator.cpp.

Member Function Documentation

deltaFromStrike()

Real deltaFromStrike

(

Real

strike

)

const

Definition at line 54 of file blackdeltacalculator.cpp.

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strikeFromDelta() [1/2]

Real strikeFromDelta

(

Real

delta

)

const

Definition at line 85 of file blackdeltacalculator.cpp.

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cumD1()

Real cumD1

(

Real

strike

)

const

Definition at line 216 of file blackdeltacalculator.cpp.

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cumD2()

Real cumD2

(

Real

strike

)

const

Definition at line 264 of file blackdeltacalculator.cpp.

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nD1()

Real nD1

(

Real

strike

)

const

Definition at line 247 of file blackdeltacalculator.cpp.

nD2()

Real nD2

(

Real

strike

)

const

Definition at line 299 of file blackdeltacalculator.cpp.

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setDeltaType()

void setDeltaType

(

DeltaVolQuote::DeltaType

dt

)

Definition at line 316 of file blackdeltacalculator.cpp.

setOptionType()

void setOptionType

(

Option::Type

ot

)

Definition at line 320 of file blackdeltacalculator.cpp.

atmStrike()

Real atmStrike

(

DeltaVolQuote::AtmType

atmT

)

const

Definition at line 177 of file blackdeltacalculator.cpp.

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strikeFromDelta() [2/2]

Real strikeFromDelta ( Real  delta, DeltaVolQuote::DeltaType  dt  ) const

private

Definition at line 89 of file blackdeltacalculator.cpp.

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Member Data Documentation

dt_

DeltaVolQuote::DeltaType dt_

private

Definition at line 75 of file blackdeltacalculator.hpp.

ot_

Option::Type ot_

private

Definition at line 76 of file blackdeltacalculator.hpp.

dDiscount_

DiscountFactor dDiscount_

private

Definition at line 77 of file blackdeltacalculator.hpp.

fDiscount_

DiscountFactor fDiscount_

private

Definition at line 77 of file blackdeltacalculator.hpp.

stdDev_

Real stdDev_

private

Definition at line 79 of file blackdeltacalculator.hpp.

spot_

Real spot_

private

Definition at line 79 of file blackdeltacalculator.hpp.

forward_

Real forward_

private

Definition at line 79 of file blackdeltacalculator.hpp.

phi_

Integer phi_

private

Definition at line 80 of file blackdeltacalculator.hpp.

fExpPos_

Real fExpPos_

private

Definition at line 81 of file blackdeltacalculator.hpp.

fExpNeg_

Real fExpNeg_

private

Definition at line 81 of file blackdeltacalculator.hpp.