Class BlackVanillaOptionPricer

Hierarchy

VanillaOptionPricer
- BlackVanillaOptionPricer

Implements

TernaryFunction<Real, Type, Real, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new BlackVanillaOptionPricer(forwardValue: Rate, expiryDate: Date, swapTenor: Period, volatilityStructure: SwaptionVolatilityStructure): BlackVanillaOptionPricer

- Defined in ql/cashflows/conundrumpricer.ts:42
Parameters
- forwardValue: Rate
- expiryDate: Date
- swapTenor: Period
- volatilityStructure: SwaptionVolatilityStructure
Returns BlackVanillaOptionPricer

Properties

Private _expiryDate

_expiryDate: Date

Private _forwardValue

_forwardValue: Rate

Private _smile

_smile: SmileSection

Private _swapTenor

_swapTenor: Period

Private _volatilityStructure

_volatilityStructure: SwaptionVolatilityStructure

Methods

f

f(strike: Real, optionType: Type, deflator: Real): Real

Overrides VanillaOptionPricer.f
- Defined in ql/cashflows/conundrumpricer.ts:62
Parameters
- strike: Real
- optionType: Type
- deflator: Real
Returns Real