QuantLib_BlackDeltaCalculator man page

BlackDeltaCalculator — Black delta calculator class.  

Synopsis

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

Public Member Functions

BlackDeltaCalculator (Option::Type ot, DeltaVolQuote::DeltaType dt, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Real stdDev)
Real deltaFromStrike (Real strike) const
Real strikeFromDelta (Real delta) const
Real cumD1 (Real strike) const
Real cumD2 (Real strike) const
Real nD1 (Real strike) const
Real nD2 (Real strike) const
void setDeltaType (DeltaVolQuote::DeltaType dt)
void setOptionType (Option::Type ot)
Real atmStrike (DeltaVolQuote::AtmType atmT) const

Detailed Description

Black delta calculator class.

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages atmStrike(3), BlackDeltaCalculator(3), cumD1(3), cumD2(3), deltaFromStrike(3), nD1(3), nD2(3), setDeltaType(3), setOptionType(3) and strikeFromDelta(3) are aliases of QuantLib_BlackDeltaCalculator(3).

Wed Aug 2 2017 Version 1.10 QuantLib