BachelierSpec Struct Reference

#include <blackswaptionengine.hpp>

Collaboration diagram for BachelierSpec:

Public Member Functions
Real	value (const Option::Type type, const Real strike, const Real atmForward, const Real stdDev, const Real annuity, const Real)
Real	vega (const Real strike, const Real atmForward, const Real stdDev, const Real exerciseTime, const Real annuity, const Real)
Real	delta (const Option::Type type, const Real strike, const Real atmForward, const Real stdDev, const Real annuity, const Real)

Static Public Attributes
static constexpr VolatilityType	type = Normal

Detailed Description

Definition at line 105 of file blackswaptionengine.hpp.

Member Function Documentation

value()

Real value	(	const Option::Type	type,
		const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	annuity,
		const	Real
	)

Definition at line 107 of file blackswaptionengine.hpp.

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vega()

Real vega	(	const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	exerciseTime,
		const Real	annuity,
		const	Real
	)

Definition at line 113 of file blackswaptionengine.hpp.

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delta()

Real delta	(	const Option::Type	type,
		const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	annuity,
		const	Real
	)

Definition at line 119 of file blackswaptionengine.hpp.

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Member Data Documentation

type

constexpr VolatilityType type = Normal

staticconstexpr

Definition at line 106 of file blackswaptionengine.hpp.