BlackModel Class Reference

#include <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< MarketElement > &volatility, const RelinkableHandle< TermStructure > &termStructure)
void update ()
double volatility () const
const RelinkableHandle< TermStructure > & termStructure () const

Static Public Member Functions

double formula (double f, double k, double v, double w)
 Black formula.


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.

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

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

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


The documentation for this class was generated from the following file:

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