QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Black-Scholes formula delta calculator class. More...
#include <ql/pricingengines/blackcalculator.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/experimental/fx/deltavolquote.hpp>
Go to the source code of this file.
Classes | |
class | BlackDeltaCalculator |
Black delta calculator class. More... | |
class | BlackDeltaPremiumAdjustedSolverClass |
class | BlackDeltaPremiumAdjustedMaxStrikeClass |
Namespaces | |
namespace | QuantLib |
Black-Scholes formula delta calculator class.
Definition in file blackdeltacalculator.hpp.