BlackModel Class Reference#include <ql/PricingEngines/blackmodel.hpp>
Inheritance diagram for BlackModel:
[legend]List of all members.
Detailed Description
Black-model for vanilla interest-rate derivatives.
Member Function Documentation
void update |
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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. |
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General Black formula.
Returns
where
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In-the-money cash probability.
Returns
where
and
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