QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Static Public Attributes | List of all members
BachelierSpec Struct Reference

#include <blackswaptionengine.hpp>

+ Collaboration diagram for BachelierSpec:

Public Member Functions

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

Static Public Attributes

static const VolatilityType type = Normal
 

Detailed Description

Definition at line 105 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 
)

Definition at line 107 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 
)

Definition at line 113 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 
)

Definition at line 119 of file blackswaptionengine.hpp.

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Member Data Documentation

◆ type

const VolatilityType type = Normal
static

Definition at line 106 of file blackswaptionengine.hpp.