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QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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QuantLib
BlackDeltaCalculator
BlackDeltaCalculator Member List
This is the complete list of members for
BlackDeltaCalculator
, including all inherited members.
atmStrike
(DeltaVolQuote::AtmType atmT) const
BlackDeltaCalculator
BlackDeltaCalculator
(Option::Type ot, DeltaVolQuote::DeltaType dt, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Real stdDev)
BlackDeltaCalculator
cumD1
(Real strike) const
BlackDeltaCalculator
cumD2
(Real strike) const
BlackDeltaCalculator
dDiscount_
BlackDeltaCalculator
private
deltaFromStrike
(Real strike) const
BlackDeltaCalculator
dt_
BlackDeltaCalculator
private
fDiscount_
BlackDeltaCalculator
private
fExpNeg_
BlackDeltaCalculator
private
fExpPos_
BlackDeltaCalculator
private
forward_
BlackDeltaCalculator
private
nD1
(Real strike) const
BlackDeltaCalculator
nD2
(Real strike) const
BlackDeltaCalculator
ot_
BlackDeltaCalculator
private
phi_
BlackDeltaCalculator
private
setDeltaType
(DeltaVolQuote::DeltaType dt)
BlackDeltaCalculator
setOptionType
(Option::Type ot)
BlackDeltaCalculator
spot_
BlackDeltaCalculator
private
stdDev_
BlackDeltaCalculator
private
strikeFromDelta
(Real delta) const
BlackDeltaCalculator
strikeFromDelta
(Real delta, DeltaVolQuote::DeltaType dt) const
BlackDeltaCalculator
private
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