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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <ql/pricingengines/blackformula.hpp>#include <ql/math/functional.hpp>#include <ql/math/solvers1d/newtonsafe.hpp>#include <ql/math/distributions/normaldistribution.hpp>#include <boost/math/special_functions/fpclassify.hpp>#include <boost/math/special_functions/atanh.hpp>#include <boost/math/special_functions/sign.hpp>Go to the source code of this file.
Namespaces | |
| namespace | QuantLib |
Functions | |
| Real | blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount, Real displacement) |
| Real | blackFormula (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement) |
| Real | blackFormulaForwardDerivative (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount, Real displacement) |
| Real | blackFormulaForwardDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement) |
| Real | blackFormulaImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount, Real displacement) |
| Real | blackFormulaImpliedStdDevApproximation (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount, Real displacement) |
| Real | blackFormulaImpliedStdDevChambers (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real blackAtmPrice, Real discount, Real displacement) |
| Real | blackFormulaImpliedStdDevChambers (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real blackAtmPrice, Real discount, Real displacement) |
| Real | blackFormulaImpliedStdDevApproximationRS (Option::Type type, Real K, Real F, Real marketValue, Real df, Real displacement) |
| Real | blackFormulaImpliedStdDevApproximationRS (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real F, Real marketValue, Real df, Real displacement) |
| Real | blackFormulaImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount, Real displacement, Real guess, Real accuracy, Natural maxIterations) |
| Real | blackFormulaImpliedStdDev (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount, Real displacement, Real guess, Real accuracy, Natural maxIterations) |
| Real | blackFormulaImpliedStdDevLiRS (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount, Real displacement, Real guess, Real w, Real accuracy, Natural maxIterations) |
| Real | blackFormulaImpliedStdDevLiRS (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount, Real displacement, Real guess, Real omega, Real accuracy, Natural maxIterations) |
| Real | blackFormulaCashItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement) |
| Real | blackFormulaCashItmProbability (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement) |
| Real | blackFormulaAssetItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement) |
| Real | blackFormulaAssetItmProbability (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement) |
| Real | blackFormulaVolDerivative (Rate strike, Rate forward, Real stdDev, Real expiry, Real discount, Real displacement) |
| Real | blackFormulaStdDevDerivative (Rate strike, Rate forward, Real stdDev, Real discount, Real displacement) |
| Real | blackFormulaStdDevDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement) |
| Real | blackFormulaStdDevSecondDerivative (Rate strike, Rate forward, Real stdDev, Real discount, Real displacement) |
| Real | blackFormulaStdDevSecondDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement) |
| Real | bachelierBlackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount) |
| Real | bachelierBlackFormula (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount) |
| Real | bachelierBlackFormulaForwardDerivative (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount) |
| Real | bachelierBlackFormulaForwardDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount) |
| Real | bachelierBlackFormulaImpliedVol (Option::Type optionType, Real strike, Real forward, Real tte, Real bachelierPrice, Real discount) |
| Real | bachelierBlackFormulaStdDevDerivative (Rate strike, Rate forward, Real stdDev, Real discount) |
| Real | bachelierBlackFormulaStdDevDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount) |
| Real | bachelierBlackFormulaAssetItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev) |
| Real | bachelierBlackFormulaAssetItmProbability (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev) |