Black delta calculator class. More...
#include <ql/experimental/fx/blackdeltacalculator.hpp>
Public Member Functions | |
BlackDeltaCalculator (Option::Type ot, DeltaVolQuote::DeltaType dt, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Real stdDev) | |
Real | deltaFromStrike (Real strike) const |
Real | strikeFromDelta (Real delta) const |
Real | cumD1 (Real strike) const |
Real | cumD2 (Real strike) const |
Real | nD1 (Real strike) const |
Real | nD2 (Real strike) const |
void | setDeltaType (DeltaVolQuote::DeltaType dt) |
void | setOptionType (Option::Type ot) |
Real | atmStrike (DeltaVolQuote::AtmType atmT) const |
Black delta calculator class.
Class includes many operations needed for different applications in FX markets, which has special quoation mechanisms, since every price can be expressed in both numeraires.