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quantlib.js
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"ql/experimental/fx/blackdeltacalculator"
BlackDeltaPremiumAdjustedMaxStrikeClass
Class BlackDeltaPremiumAdjustedMaxStrikeClass
Hierarchy
BlackDeltaPremiumAdjustedMaxStrikeClass
Implements
UnaryFunction
<
Real
,
Real
>
Index
Constructors
constructor
Properties
_bdc
_std
Dev
Methods
f
Constructors
constructor
new
Black
Delta
Premium
Adjusted
Max
Strike
Class
(
ot
:
Type
, dt
:
DeltaType
, spot
:
Real
, dDiscount
:
DiscountFactor
, fDiscount
:
DiscountFactor
, stdDev
:
Real
)
:
BlackDeltaPremiumAdjustedMaxStrikeClass
Parameters
ot:
Type
dt:
DeltaType
spot:
Real
dDiscount:
DiscountFactor
fDiscount:
DiscountFactor
stdDev:
Real
Returns
BlackDeltaPremiumAdjustedMaxStrikeClass
Properties
Private
_bdc
_bdc
:
BlackDeltaCalculator
Private
_std
Dev
_std
Dev
:
Real
Methods
f
f
(
strike
:
Real
)
:
Real
Parameters
strike:
Real
Returns
Real
Globals
"ql/experimental/fx/blackdeltacalculator"
Black
Delta
Calculator
Black
Delta
Premium
Adjusted
Max
Strike
Class
constructor
_bdc
_std
Dev
f
Black
Delta
Premium
Adjusted
Solver
Class