Functions |
| Real | blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaImpliedStdDevApproximation (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100) |
| Real | blackFormulaImpliedStdDev (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100) |
| Real | blackFormulaCashItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement=0.0) |
| Real | blackFormulaCashItmProbability (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement=0.0) |
| Real | blackFormulaStdDevDerivative (Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaVolDerivative (Real strike, Real forward, Real stdDev, Real expiry, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaStdDevDerivative (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | bachelierBlackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0) |
| Real | bachelierBlackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) |