black_scholes.hxx File Reference

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Namespaces
namespace	sca
namespace	sca::pricing
namespace	sca::pricing::bs
namespace	sca::pricing::bs::types

Enumerations
enum	sca::pricing::bs::types::Greeks {   sca::pricing::bs::types::Value = 0 ,   sca::pricing::bs::types::Delta = 1 ,   sca::pricing::bs::types::Gamma = 2 ,   sca::pricing::bs::types::Theta = 3 ,   sca::pricing::bs::types::Vega = 4 ,   sca::pricing::bs::types::Volga = 5 ,   sca::pricing::bs::types::Vanna = 6 ,   sca::pricing::bs::types::Rho_d = 7 ,   sca::pricing::bs::types::Rho_f = 8 }
enum	sca::pricing::bs::types::PutCall {   sca::pricing::bs::types::Call = 1 ,   sca::pricing::bs::types::Put = -1 }
enum	sca::pricing::bs::types::KOType {   sca::pricing::bs::types::Regular = 0 ,   sca::pricing::bs::types::Reverse = 1 }
enum	sca::pricing::bs::types::BarrierKIO {   sca::pricing::bs::types::KnockIn = -1 ,   sca::pricing::bs::types::KnockOut = 1 }
enum	sca::pricing::bs::types::BarrierActive {   sca::pricing::bs::types::Continuous = 0 ,   sca::pricing::bs::types::Maturity = 1 }
enum	sca::pricing::bs::types::ForDom {   sca::pricing::bs::types::Domestic = 0 ,   sca::pricing::bs::types::Foreign = 1 }

Functions
double	sca::pricing::bs::bincash (double S, double vol, double rd, double rf, double tau, double K, types::PutCall pc, types::Greeks greeks)
double	sca::pricing::bs::binasset (double S, double vol, double rd, double rf, double tau, double K, types::PutCall pc, types::Greeks greeks)
double	sca::pricing::bs::putcall (double S, double vol, double rd, double rf, double tau, double K, types::PutCall putcall, types::Greeks greeks)
double	sca::pricing::bs::putcalltrunc (double S, double vol, double rd, double rf, double tau, double K, double B, types::PutCall pc, types::KOType kotype, types::Greeks greeks)
double	sca::pricing::bs::putcalltrunc (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::Greeks greek)
double	sca::pricing::bs::touch (double S, double vol, double rd, double rf, double tau, double B1, double B2, types::ForDom fd, types::BarrierKIO kio, types::BarrierActive bcont, types::Greeks greek)
double	sca::pricing::bs::barrier (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, double rebate, types::PutCall pc, types::BarrierKIO kio, types::BarrierActive bcont, types::Greeks greek)
double	sca::pricing::bs::prob_hit (double S, double vol, double mu, double tau, double B1, double B2)
double	sca::pricing::bs::prob_in_money (double S, double vol, double mu, double tau, double B1, double B2)
double	sca::pricing::bs::prob_in_money (double S, double vol, double mu, double tau, double K, double B1, double B2, types::PutCall pc)