blackformula.hpp File Reference

Black formula. More...

#include <ql/instruments/payoffs.hpp>
#include <ql/option.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	blackFormulaStdDevDerivative (Rate strike, Rate forward, Real stdDev, Real discount, Real displacement)
Real	blackFormulaVolDerivative (Rate strike, Rate forward, Real stdDev, Real expiry, 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)

Detailed Description

Black formula.

Definition in file blackformula.hpp.