ql/PricingEngines/blackmodel.hpp File Reference
Detailed Description
Black formula and associated functions.
#include <ql/option.hpp>
#include <ql/Math/normaldistribution.hpp>
Include dependency graph for blackmodel.hpp:

Namespaces | |
| namespace | QuantLib |
| namespace | QuantLib::detail |
Functions | |
| Real | blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev) |
| Real | blackImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice) |
| Real | blackImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real guess=Null< Real >(), Real accuracy=1.0e-6) |
| Real | blackItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev) |
| Real | blackFormula (Real forward, Real strike, Real stdDev, Option::Type optionType) |
| Real | itmBlackProbability (Real forward, Real strike, Real stdDev, Option::Type optionType) |