25 const ext::shared_ptr<StrikedTypePayoff>&
payoff,
31 spot_(spot), growth_(growth)
34 "spot (" <<
spot_ <<
") must be positive");
36 "growth (" <<
growth_ <<
") must be positive");
45 :
BlackCalculator(type, strike, spot*growth/discount, stdDev, discount),
46 spot_(spot), growth_(growth)
49 "spot (" <<
spot_ <<
") must be positive");
51 "growth (" <<
growth_ <<
") must be positive");
Black-Scholes formula calculator class.
Black 1976 calculator class.
BlackScholesCalculator(const ext::shared_ptr< StrikedTypePayoff > &payoff, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount)
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Real DiscountFactor
discount factor between dates
ext::shared_ptr< QuantLib::Payoff > payoff