Class BlackDeltaPremiumAdjustedMaxStrikeClass

Hierarchy

BlackDeltaPremiumAdjustedMaxStrikeClass

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

_bdc
_stdDev

Methods

f

Constructors

constructor

new BlackDeltaPremiumAdjustedMaxStrikeClass(ot: Type, dt: DeltaType, spot: Real, dDiscount: DiscountFactor, fDiscount: DiscountFactor, stdDev: Real): BlackDeltaPremiumAdjustedMaxStrikeClass

- Defined in ql/experimental/fx/blackdeltacalculator.ts:381
Parameters
- ot: Type
- dt: DeltaType
- spot: Real
- dDiscount: DiscountFactor
- fDiscount: DiscountFactor
- stdDev: Real
Returns BlackDeltaPremiumAdjustedMaxStrikeClass

Properties

Private _bdc

_bdc: BlackDeltaCalculator

Private _stdDev

_stdDev: Real

Methods

f

f(strike: Real): Real

- Defined in ql/experimental/fx/blackdeltacalculator.ts:392
Parameters
- strike: Real
Returns Real