implied bachelier volatility based on Jaeckel, Implied Normal Volatility, 2017 More...
#include <ql/types.hpp>
#include <ql/option.hpp>
Functions | |
Real | exactBachelierImpliedVolatility (Option::Type optionType, Real strike, Real forward, Real tte, Real bachelierPrice, Real discount=1.0) |
implied bachelier volatility based on Jaeckel, Implied Normal Volatility, 2017