BlackModel Class Reference

#include <ql/PricingEngines/blackmodel.hpp>

Inheritance diagram for BlackModel:

Inheritance graph
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List of all members.

Detailed Description

Black-model for vanilla interest-rate derivatives.


Public Member Functions

 BlackModel (const RelinkableHandle< Quote > &volatility, const RelinkableHandle< TermStructure > &termStructure)
void update ()
Volatility volatility () const
const RelinkableHandle< TermStructure > & termStructure () const

Static Public Member Functions

Real formula (Real f, Real k, Real v, Real w)
 General Black formula.

Real itmProbability (Real f, Real k, Real v, Real w)
 In-the-money cash probability.


Member Function Documentation

void update  )  [virtual]
 

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Real formula Real  f,
Real  k,
Real  v,
Real  w
[static]
 

General Black formula.

Returns

\[ Black(f,k,v,w) = fw\Phi(wd_1(f,k,v)) - kw\Phi(wd_2(f,k,v)), \]

where

\[ d_1(f,k,v) = \frac{\ln(f/k)+v^2/2}{v} \]

and

\[ d_2(f,k,v) = d_1(f,k,v) - v. \]

Real itmProbability Real  f,
Real  k,
Real  v,
Real  w
[static]
 

In-the-money cash probability.

Returns

\[ P(f,k,v,w) = \Phi(wd_2(f,k,v)), \]

where

\[ d_1(f,k,v) = \frac{\ln(f/k)+v^2/2}{v} \]

and

\[ d_2(f,k,v) = d_1(f,k,v) - v. \]


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