BlackDeltaPremiumAdjustedMaxStrikeClass Class Reference

#include <ql/experimental/fx/blackdeltacalculator.hpp>

Collaboration diagram for BlackDeltaPremiumAdjustedMaxStrikeClass:

Public Member Functions
	BlackDeltaPremiumAdjustedMaxStrikeClass (Option::Type ot, DeltaVolQuote::DeltaType dt, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Real stdDev)
Real	operator() (Real strike) const

Private Attributes
BlackDeltaCalculator	bdc_
Real	stdDev_

Detailed Description

Definition at line 104 of file blackdeltacalculator.hpp.

Constructor & Destructor Documentation

BlackDeltaPremiumAdjustedMaxStrikeClass()

BlackDeltaPremiumAdjustedMaxStrikeClass	(	Option::Type	ot,
		DeltaVolQuote::DeltaType	dt,
		Real	spot,
		DiscountFactor	dDiscount,
		DiscountFactor	fDiscount,
		Real	stdDev
	)

Definition at line 344 of file blackdeltacalculator.cpp.

Member Function Documentation

operator()()

Real operator()

(

Real

strike

)

const

Definition at line 353 of file blackdeltacalculator.cpp.

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Member Data Documentation

bdc_

BlackDeltaCalculator bdc_

private

Definition at line 117 of file blackdeltacalculator.hpp.

stdDev_

Real stdDev_

private

Definition at line 118 of file blackdeltacalculator.hpp.