Class Black76Spec

shifted lognormal type engine

Hierarchy

Black76Spec

Index

Properties

type

Methods

value
vega

Properties

type

type: VolatilityType = VolatilityType.ShiftedLognormal

Methods

value

value(type: Type, strike: Real, atmForward: Real, stdDev: Real, annuity: Real, displacement: Real): Real

- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:210
Parameters
- type: Type
- strike: Real
- atmForward: Real
- stdDev: Real
- annuity: Real
- displacement: Real
Returns Real

vega

vega(strike: Real, atmForward: Real, stdDev: Real, exerciseTime: Real, annuity: Real, displacement: Real): Real

- Defined in ql/pricingengines/swaption/blackswaptionengine.ts:217
Parameters
- strike: Real
- atmForward: Real
- stdDev: Real
- exerciseTime: Real
- annuity: Real
- displacement: Real
Returns Real