QuantLib 0.3.7
Getting started
Reference manual
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BlackFormula Class Reference#include <ql/PricingEngines/blackformula.hpp>
List of all members.
Detailed Description
Black-formula calculator.
- Bug:
- When the variance is null, division by zero occur during the calculation of delta, delta forward, gamma, gamma forward, rho, dividend rho, vega, and strike sensitivity.
Member Function Documentation
Real itmCashProbability |
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Probability of being in the money in the bond martingale measure. It is a risk-neutral probability, not the real world probability. |
Real itmAssetProbability |
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const |
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Probability of being in the money in the asset martingale measure. It is a risk-neutral probability, not the real world probability. |
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