black_scholes.cpp File Reference

#include "quant/black_scholes.hpp"
#include <algorithm>

Include dependency graph for black_scholes.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::bs
	Analytic Black–Scholes European option pricing and Greeks.

Functions
double	quant::bs::call_price (double S, double K, double r, double q, double sigma, double T)
	Price a European call option under Black–Scholes (present value).
double	quant::bs::delta_call (double S, double K, double r, double q, double sigma, double T)
double	quant::bs::delta_put (double S, double K, double r, double q, double sigma, double T)
double	quant::bs::gamma (double S, double K, double r, double q, double sigma, double T)
double	quant::bs::implied_vol_call (double S, double K, double r, double q, double T, double price)
double	quant::bs::implied_vol_put (double S, double K, double r, double q, double T, double price)
double	quant::bs::put_price (double S, double K, double r, double q, double sigma, double T)
	Price a European put option under Black–Scholes (present value).
double	quant::bs::rho_call (double S, double K, double r, double q, double sigma, double T)
double	quant::bs::rho_put (double S, double K, double r, double q, double sigma, double T)
double	quant::bs::theta_call (double S, double K, double r, double q, double sigma, double T)
double	quant::bs::theta_put (double S, double K, double r, double q, double sigma, double T)
double	quant::bs::vega (double S, double K, double r, double q, double sigma, double T)