BlackScholesCalculator.hpp File Reference
File contains small functions used to calculate PV and Greeks using Black-Scholes model. More...
#include <instruments/instrumentAuxiliaryTypes.hpp>Go to the source code of this file.
Functions | |
| double | julian::prizeBlackScholes (double S, double K, double DFr, double DFq, double vol, double t, CallPut icp) |
| Function calculates prize of European option using Black-Scholes formula. More... | |
| double | julian::calculateImpliedVolatility (double S, double K, double DFr, double DFq, double prize, double t, CallPut icp) |
| Function calculates implied volatility. More... | |
| double | julian::calculateBlackScholesDelta (double S, double K, double DFr, double DFq, double vol, double t, CallPut icp) |
| Function calculates delta parameter of European option. More... | |
| double | julian::calculateStrikeFromCallDelta (double spot, double DFr, double DFq, double vol, double t, double delta) |
| Function calculates delta parameter of European option. More... | |
| double | julian::calculateStrikeFromPutDelta (double spot, double DFr, double DFq, double vol, double t, double delta) |
| Function calculates delta parameter of European option. More... | |
Detailed Description
File contains small functions used to calculate PV and Greeks using Black-Scholes model.
