blackdeltautilities.hpp File Reference

utilities to calculate strikes from deltas and atm strikes on smiles More...

#include <ql/experimental/fx/deltavolquote.hpp>
#include <ql/option.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

Functions
Real	getStrikeFromDelta (Option::Type optionType, Real delta, DeltaVolQuote::DeltaType dt, Real spot, Real domDiscount, Real forDiscount, boost::shared_ptr< BlackVolTermStructure > vol, Real t, Real accuracy=1E-6, Size maxIterations=1000)
Real	getAtmStrike (DeltaVolQuote::DeltaType dt, DeltaVolQuote::AtmType at, Real spot, Real domDiscount, Real forDiscount, boost::shared_ptr< BlackVolTermStructure > vol, Real t, Real accuracy=1E-6, Size maxIterations=1000)

Detailed Description

utilities to calculate strikes from deltas and atm strikes on smiles