Class BlackDeltaCalculator
Constructors
constructor
Defined in ql/experimental/fx/blackdeltacalculator.ts:21
Parameters
Properties
Private _dDiscount
Defined in ql/experimental/fx/blackdeltacalculator.ts:349
Private _dt
Defined in ql/experimental/fx/blackdeltacalculator.ts:347
Private _fDiscount
Defined in ql/experimental/fx/blackdeltacalculator.ts:350
Private _fExpNeg
Defined in ql/experimental/fx/blackdeltacalculator.ts:357
Private _fExpPos
Defined in ql/experimental/fx/blackdeltacalculator.ts:356
Private _forward
Defined in ql/experimental/fx/blackdeltacalculator.ts:354
Private _ot
Defined in ql/experimental/fx/blackdeltacalculator.ts:348
Private _phi
Defined in ql/experimental/fx/blackdeltacalculator.ts:355
Private _spot
Defined in ql/experimental/fx/blackdeltacalculator.ts:353
Private _stdDev
Defined in ql/experimental/fx/blackdeltacalculator.ts:352
Methods
atmStrike
Defined in ql/experimental/fx/blackdeltacalculator.ts:211
Parameters
cumD1
Defined in ql/experimental/fx/blackdeltacalculator.ts:101
Parameters
cumD2
Defined in ql/experimental/fx/blackdeltacalculator.ts:133
Parameters
deltaFromStrike
Defined in ql/experimental/fx/blackdeltacalculator.ts:66
Parameters
nD1
Defined in ql/experimental/fx/blackdeltacalculator.ts:166
Parameters
nD2
Defined in ql/experimental/fx/blackdeltacalculator.ts:184
Parameters
setDeltaType
Defined in ql/experimental/fx/blackdeltacalculator.ts:202
Parameters
Returns void
setOptionType
setOptionType( ot: Type ) : void
Defined in ql/experimental/fx/blackdeltacalculator.ts:206
Parameters
Returns void
strikeFromDelta
Defined in ql/experimental/fx/blackdeltacalculator.ts:97
Parameters
Private strikeFromDelta_
Defined in ql/experimental/fx/blackdeltacalculator.ts:248
Parameters
Legend
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Protected property Protected method Protected accessor
Private property Private method Private accessor
Static property Static method
Black delta calculator class
Class includes many operations needed for different applications in FX markets, which has special quoation mechanisms, since every price can be expressed in both numeraires.