BlackModel Class Reference#include <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. |
double formula |
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double |
f, |
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double |
k, |
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double |
v, |
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double |
w |
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Black formula.
Returns
where
and
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The documentation for this class was generated from the following file:
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