sca::pricing::bs::internal Namespace Reference

Functions
static double	vanilla (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::ForDom fd, types::Greeks greek)
static double	vanilla_trunc (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::ForDom fd, types::Greeks greek)
static double	barrier_term (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, double sc, types::PutCall pc, types::ForDom fd, types::Greeks greek)
static double	barrier_double_term (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, double fac, double sc, int i, types::PutCall pc, types::ForDom fd, types::Greeks greek)
static double	barrier_ko (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::ForDom fd, types::Greeks greek)
static double	barrier_ki (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::ForDom fd, types::Greeks greek)
static double	barrier (double S, double vol, double rd, double rf, double tau, double K, double B1, double B2, types::PutCall pc, types::ForDom fd, types::BarrierKIO kio, types::BarrierActive bcont, types::Greeks greek)

Function Documentation

barrier()

static double sca::pricing::bs::internal::barrier ( double  S, double  vol, double  rd, double  rf, double  tau, double  K, double  B1, double  B2, types::PutCall  pc, types::ForDom  fd, types::BarrierKIO  kio, types::BarrierActive  bcont, types::Greeks  greek  )

static

Definition at line 792 of file black_scholes.cxx.

References barrier_ki(), barrier_ko(), sca::pricing::bs::types::Continuous, sca::pricing::bs::types::KnockIn, sca::pricing::bs::types::KnockOut, sca::pricing::bs::types::Maturity, pc, S, vanilla(), and vanilla_trunc().

Referenced by sca::pricing::bs::barrier().

barrier_double_term()

static double sca::pricing::bs::internal::barrier_double_term ( double  S, double  vol, double  rd, double  rf, double  tau, double  K, double  B1, double  B2, double  fac, double  sc, int  i, types::PutCall  pc, types::ForDom  fd, types::Greeks  greek  )

static

Definition at line 650 of file black_scholes.cxx.

References barrier_term(), sca::pricing::bs::types::Delta, fac(), sca::pricing::bs::types::Gamma, i, log, pc, sca::pricing::bs::types::Rho_d, sca::pricing::bs::types::Rho_f, S, sca::pricing::bs::types::Theta, sca::pricing::bs::types::Value, sca::pricing::bs::types::Vanna, sca::pricing::bs::types::Vega, and sca::pricing::bs::types::Volga.

Referenced by barrier_ko().

barrier_ki()

static double sca::pricing::bs::internal::barrier_ki ( double  S, double  vol, double  rd, double  rf, double  tau, double  K, double  B1, double  B2, types::PutCall  pc, types::ForDom  fd, types::Greeks  greek  )

static

Definition at line 783 of file black_scholes.cxx.

References barrier_ko(), pc, S, and vanilla().

Referenced by barrier().

barrier_ko()

static double sca::pricing::bs::internal::barrier_ko ( double  S, double  vol, double  rd, double  rf, double  tau, double  K, double  B1, double  B2, types::PutCall  pc, types::ForDom  fd, types::Greeks  greek  )

static

Definition at line 708 of file black_scholes.cxx.

References a, barrier_double_term(), barrier_term(), fac(), i, pc, S, sca::pricing::bs::sqr(), and vanilla().

Referenced by barrier(), barrier_ki(), and sca::pricing::bs::touch().

barrier_term()

static double sca::pricing::bs::internal::barrier_term ( double  S, double  vol, double  rd, double  rf, double  tau, double  K, double  B1, double  B2, double  sc, types::PutCall  pc, types::ForDom  fd, types::Greeks  greek  )

static

Definition at line 545 of file black_scholes.cxx.

References a, B, sca::pricing::bs::types::Delta, sca::pricing::bs::types::Gamma, log, pc, sca::pricing::bs::types::Rho_d, sca::pricing::bs::types::Rho_f, S, sca::pricing::bs::sqr(), sca::pricing::bs::types::Theta, sca::pricing::bs::types::Value, vanilla_trunc(), sca::pricing::bs::types::Vanna, sca::pricing::bs::types::Vega, and sca::pricing::bs::types::Volga.

Referenced by barrier_double_term(), and barrier_ko().

vanilla()

static double sca::pricing::bs::internal::vanilla ( double  S, double  vol, double  rd, double  rf, double  tau, double  K, double  B1, double  B2, types::PutCall  pc, types::ForDom  fd, types::Greeks  greek  )

static

Definition at line 502 of file black_scholes.cxx.

References sca::pricing::bs::binary(), pc, sca::pricing::bs::putcall(), and S.

Referenced by barrier(), barrier_ki(), barrier_ko(), and sca::pricing::bs::touch().

vanilla_trunc()

static double sca::pricing::bs::internal::vanilla_trunc ( double  S, double  vol, double  rd, double  rf, double  tau, double  K, double  B1, double  B2, types::PutCall  pc, types::ForDom  fd, types::Greeks  greek  )

static

Definition at line 515 of file black_scholes.cxx.

References sca::pricing::bs::binary(), pc, sca::pricing::bs::putcalltrunc(), and S.

Referenced by barrier(), barrier_term(), and sca::pricing::bs::touch().