julian/a00508_source.html

 #ifndef JULIAN_BLACKSHOLESCALCULATOR_HPP
 #define JULIAN_BLACKSHOLESCALCULATOR_HPP

 #include <instruments/instrumentAuxiliaryTypes.hpp>

 namespace julian {
   double prizeBlackScholes(double S,double K, double DFr,double DFq, double vol, double t, CallPut icp);
   double calculateImpliedVolatility(double S,double K, double DFr,double DFq, double prize, double t, CallPut icp);
   double calculateBlackScholesDelta(double S,double K, double DFr,double DFq, double vol, double t, CallPut icp);
   double calculateStrikeFromCallDelta(double spot,double DFr,double DFq,double vol,double t,double delta);
   double calculateStrikeFromPutDelta (double spot,double DFr,double DFq,double vol,double t,double delta);
 }

 #endif
instrumentAuxiliaryTypes.hpp
File contains types common to all financial instruments.

julian::calculateStrikeFromPutDelta
double calculateStrikeFromPutDelta(double spot, double DFr, double DFq, double vol, double t, double delta)
Function calculates delta parameter of European option.
Definition: BlackScholesCalculator.cpp:131

julian
Definition: cadHoliday.cpp:3

julian::prizeBlackScholes
double 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.
Definition: BlackScholesCalculator.cpp:30

julian::calculateStrikeFromCallDelta
double calculateStrikeFromCallDelta(double spot, double DFr, double DFq, double vol, double t, double delta)
Function calculates delta parameter of European option.
Definition: BlackScholesCalculator.cpp:107

julian::calculateImpliedVolatility
double calculateImpliedVolatility(double S, double K, double DFr, double DFq, double prize, double t, CallPut icp)
Function calculates implied volatility.
Definition: BlackScholesCalculator.cpp:55

julian::calculateBlackScholesDelta
double calculateBlackScholesDelta(double S, double K, double DFr, double DFq, double vol, double t, CallPut icp)
Function calculates delta parameter of European option.
Definition: BlackScholesCalculator.cpp:82