1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>BlackDeltaCalculator Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_black_delta_calculator.html">BlackDeltaCalculator</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> </div>
<div class="headertitle">
<div class="title">BlackDeltaCalculator Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::BlackDeltaCalculator" -->
<p>Black delta calculator class.
<a href="class_quant_lib_1_1_black_delta_calculator.html#details">More...</a></p>
<p><code>#include <ql/experimental/fx/blackdeltacalculator.hpp></code></p>
<p><a href="class_quant_lib_1_1_black_delta_calculator-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac766f81e5a714ebf5e0d3a943bba6c5f"></a><!-- doxytag: member="QuantLib::BlackDeltaCalculator::BlackDeltaCalculator" ref="ac766f81e5a714ebf5e0d3a943bba6c5f" args="(Option::Type ot, DeltaVolQuote::DeltaType dt, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Real stdDev)" -->
 </td><td class="memItemRight" valign="bottom"><b>BlackDeltaCalculator</b> (Option::Type ot, DeltaVolQuote::DeltaType dt, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot, <a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> dDiscount, <a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> fDiscount, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> stdDev)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af21c1e320e11c719a1bdc7a3844ce7d6"></a><!-- doxytag: member="QuantLib::BlackDeltaCalculator::deltaFromStrike" ref="af21c1e320e11c719a1bdc7a3844ce7d6" args="(Real strike) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>deltaFromStrike</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab6d7007264040c106eea8dd57935334f"></a><!-- doxytag: member="QuantLib::BlackDeltaCalculator::strikeFromDelta" ref="ab6d7007264040c106eea8dd57935334f" args="(Real delta) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>strikeFromDelta</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> delta) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a57e8325fdb3550953469520a47252606"></a><!-- doxytag: member="QuantLib::BlackDeltaCalculator::cumD1" ref="a57e8325fdb3550953469520a47252606" args="(Real strike) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>cumD1</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4542ea9587c45bd875673934a6ff7357"></a><!-- doxytag: member="QuantLib::BlackDeltaCalculator::cumD2" ref="a4542ea9587c45bd875673934a6ff7357" args="(Real strike) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>cumD2</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3bdc6c35dfa49a8b6bbf867b089c1a67"></a><!-- doxytag: member="QuantLib::BlackDeltaCalculator::nD1" ref="a3bdc6c35dfa49a8b6bbf867b089c1a67" args="(Real strike) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nD1</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9fac81f2874ab025b4d33cd34be9a781"></a><!-- doxytag: member="QuantLib::BlackDeltaCalculator::nD2" ref="a9fac81f2874ab025b4d33cd34be9a781" args="(Real strike) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nD2</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a74f62bb41e5e6046394e053fb605c637"></a><!-- doxytag: member="QuantLib::BlackDeltaCalculator::setDeltaType" ref="a74f62bb41e5e6046394e053fb605c637" args="(DeltaVolQuote::DeltaType dt)" -->
void </td><td class="memItemRight" valign="bottom"><b>setDeltaType</b> (DeltaVolQuote::DeltaType dt)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3ed7a84bd09bb386627eff272fcb882a"></a><!-- doxytag: member="QuantLib::BlackDeltaCalculator::setOptionType" ref="a3ed7a84bd09bb386627eff272fcb882a" args="(Option::Type ot)" -->
void </td><td class="memItemRight" valign="bottom"><b>setOptionType</b> (Option::Type ot)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afe9d0eb583b6cb13e02b5da89403615e"></a><!-- doxytag: member="QuantLib::BlackDeltaCalculator::atmStrike" ref="afe9d0eb583b6cb13e02b5da89403615e" args="(DeltaVolQuote::AtmType atmT) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>atmStrike</b> (DeltaVolQuote::AtmType atmT) const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Black delta calculator class. </p>
<p>Class includes many operations needed for different applications in FX markets, which has special quoation mechanisms, since every price can be expressed in both numeraires. </p>
</div></div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
