black_scholes.hpp File Reference

#include <cmath>

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Classes
struct	quant::bs::Params

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 (const Params &p)
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::d1 (double S, double K, double r, double q, double sigma, double T)
double	quant::bs::d2 (double d1_value, double sigma, double T)
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::normal_cdf (double x)
double	quant::bs::normal_pdf (double x)
double	quant::bs::put_price (const Params &p)
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)