Class BlackImpliedStdDevHelper

Hierarchy

BlackImpliedStdDevHelper

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

Methods

d
f

Constructors

constructor

new BlackImpliedStdDevHelper(optionType: Type, strike: Real, forward: Real, undiscountedBlackPrice: Real, displacement?: Real): BlackImpliedStdDevHelper

- Defined in ql/pricingengines/blackformula.ts:768
Parameters
- optionType: Type
- strike: Real
- forward: Real
- undiscountedBlackPrice: Real
- Default value displacement: Real = 0
Returns BlackImpliedStdDevHelper

Properties

Private _N

_N: CumulativeNormalDistribution

Private _halfOptionType

_halfOptionType: Real

Private _signedForward

_signedForward: Real

Private _signedMoneyness

_signedMoneyness: Real

Private _signedStrike

_signedStrike: Real

Private _undiscountedBlackPrice

_undiscountedBlackPrice: Real

Methods

d

d(stdDev: Real): Real

- Defined in ql/pricingengines/blackformula.ts:804
Parameters
- stdDev: Real
Returns Real

f

f(stdDev: Real): Real

- Defined in ql/pricingengines/blackformula.ts:785
Parameters
- stdDev: Real
Returns Real