QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <blackswaptionengine.hpp>
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 |
Definition at line 105 of file blackswaptionengine.hpp.
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Definition at line 106 of file blackswaptionengine.hpp.