Black76Spec Struct Reference

#include <blackswaptionengine.hpp>

Collaboration diagram for Black76Spec:

Public Member Functions
Real	value (const Option::Type type, const Real strike, const Real atmForward, const Real stdDev, const Real annuity, const Real displacement)
Real	vega (const Real strike, const Real atmForward, const Real stdDev, const Real exerciseTime, const Real annuity, const Real displacement)
Real	delta (const Option::Type type, const Real strike, const Real atmForward, const Real stdDev, const Real annuity, const Real displacement)

Static Public Attributes
static const VolatilityType	type = ShiftedLognormal

Detailed Description

Definition at line 81 of file blackswaptionengine.hpp.

Member Function Documentation

value()

Real value	(	const Option::Type	type,
		const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	annuity,
		const Real	displacement
	)

Definition at line 83 of file blackswaptionengine.hpp.

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vega()

Real vega	(	const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	exerciseTime,
		const Real	annuity,
		const Real	displacement
	)

Definition at line 89 of file blackswaptionengine.hpp.

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delta()

Real delta	(	const Option::Type	type,
		const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	annuity,
		const Real	displacement
	)

Definition at line 96 of file blackswaptionengine.hpp.

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Member Data Documentation

type

const VolatilityType type = ShiftedLognormal

static

Definition at line 82 of file blackswaptionengine.hpp.