BlackDeltaPremiumAdjustedSolverClass Class Reference

#include <blackdeltacalculator.hpp>

Collaboration diagram for BlackDeltaPremiumAdjustedSolverClass:

Public Member Functions
	BlackDeltaPremiumAdjustedSolverClass (Option::Type ot, DeltaVolQuote::DeltaType dt, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Real stdDev, Real delta)
Real	operator() (Real strike) const

Private Attributes
BlackDeltaCalculator	bdc_
Real	delta_

Detailed Description

Definition at line 85 of file blackdeltacalculator.hpp.

Constructor & Destructor Documentation

BlackDeltaPremiumAdjustedSolverClass()

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

Definition at line 328 of file blackdeltacalculator.cpp.

Member Function Documentation

operator()()

Real operator()

(

Real

strike

)

const

Definition at line 339 of file blackdeltacalculator.cpp.

Here is the call graph for this function:

Member Data Documentation

bdc_

BlackDeltaCalculator bdc_

private

Definition at line 99 of file blackdeltacalculator.hpp.

delta_

Real delta_

private

Definition at line 100 of file blackdeltacalculator.hpp.