Class BlackDeltaPremiumAdjustedSolverClass

Hierarchy

BlackDeltaPremiumAdjustedSolverClass

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

_bdc
_delta

Methods

f

Constructors

constructor

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

- Defined in ql/experimental/fx/blackdeltacalculator.ts:361
Parameters
- ot: Type
- dt: DeltaType
- spot: Real
- dDiscount: DiscountFactor
- fDiscount: DiscountFactor
- stdDev: Real
- delta: Real
Returns BlackDeltaPremiumAdjustedSolverClass

Properties

Private _bdc

_bdc: BlackDeltaCalculator

Private _delta

_delta: Real

Methods

f

f(strike: Real): Real

- Defined in ql/experimental/fx/blackdeltacalculator.ts:372
Parameters
- strike: Real
Returns Real