sca::pricing::bs::types Namespace Reference

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

Enumeration Type Documentation

BarrierActive

enum sca::pricing::bs::types::BarrierActive

Enumerator
Continuous
Maturity

Definition at line 53 of file black_scholes.hxx.

BarrierKIO

enum sca::pricing::bs::types::BarrierKIO

Enumerator
KnockIn
KnockOut

Definition at line 47 of file black_scholes.hxx.

ForDom

enum sca::pricing::bs::types::ForDom

Enumerator
Domestic
Foreign

Definition at line 58 of file black_scholes.hxx.

Greeks

enum sca::pricing::bs::types::Greeks

Enumerator
Value
Delta
Gamma
Theta
Vega
Volga
Vanna
Rho_d
Rho_f

Definition at line 25 of file black_scholes.hxx.

KOType

enum sca::pricing::bs::types::KOType

Enumerator
Regular
Reverse

Definition at line 42 of file black_scholes.hxx.

PutCall

enum sca::pricing::bs::types::PutCall

Enumerator
Call
Put

Definition at line 37 of file black_scholes.hxx.