BlackModel Class Reference
#include <ql/PricingEngines/blackmodel.hpp>
Inheritance diagram for BlackModel:
Detailed Description
Black-model for vanilla interest-rate derivatives.
Public Member Functions | |
| BlackModel (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure) | |
| void | update () |
| Volatility | volatility () const |
| const Handle< YieldTermStructure > & | termStructure () const |
Static Public Member Functions | |
| static Real | formula (Real f, Real k, Real v, Real w) |
| General Black formula. | |
| static Real | itmProbability (Real f, Real k, Real v, Real w) |
| In-the-money cash probability. | |
Member Function Documentation
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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. |
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General Black formula. Returns
where
and
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![\[ Black(f,k,v,w) = fw\Phi(wd_1(f,k,v)) - kw\Phi(wd_2(f,k,v)), \]](form_237.png)
![\[ d_1(f,k,v) = \frac{\ln(f/k)+v^2/2}{v} \]](form_238.png)
![\[ d_2(f,k,v) = d_1(f,k,v) - v. \]](form_239.png)
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In-the-money cash probability. Returns
where
and
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![\[ P(f,k,v,w) = \Phi(wd_2(f,k,v)), \]](form_240.png)
