CFL
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Black model for a single asset.
Collaboration diagram for Black model for a single asset.:

Namespaces

 cfl::Black
 Black model for a single asset.
 

Classes

class  cfl::Black::Data
 The parameters of Black model. More...
 

Functions

AssetModel cfl::Black::model (const Data &rData, double dInterval, double dQuality)
 
AssetModel cfl::Black::model (const Data &rData, double dInterval, double dQuality, double dPathDependQuality)
 
AssetModel cfl::Black::model (const Data &rData, double dInterval, const Brownian &rBrownian, const Approx &rApprox)
 
AssetModel cfl::Black::model (const Data &rData, double dInterval, const Brownian &rBrownian, const Extended &rExtended)
 

Detailed Description

This module is dealing with an implementation of the classical Black model for a single asset. This model is the most general one-factor model with log-normal forward prices (hence, the most general one-factor model where one can use the Black and Scholes formula). It belongs to the class of financial models where the state process can be chosen to be a one-dimensional Brownian motion.

See also
cfl::Brownian

Function Documentation

AssetModel cfl::Black::model ( const Data rData,
double  dInterval,
double  dQuality 
)

Implements AssetModel as Black model.

Parameters
rDataThe parameters of Black model.
dIntervalThe interval of initial values for the relative change in the spot price of the underlying asset.
dQualityThe trade-off between speed and accuracy.
Returns
Implementation of AssetModel as Black model.
AssetModel cfl::Black::model ( const Data rData,
double  dInterval,
double  dQuality,
double  dPathDependQuality 
)

Implements AssetModel as Black model.

Parameters
rDataThe parameters of Black model.
dIntervalThe interval of initial values for the relative change in the spot price of the underlying asset.
dQualityThe trade-off between speed and accuracy for pricing of standard derivatives.
dPathDependQualityThe trade-off between speed and accuracy for pricing of path-dependent derivatives.
Returns
Implementation of AssetModel as Black model.
AssetModel cfl::Black::model ( const Data rData,
double  dInterval,
const Brownian rBrownian,
const Approx rApprox 
)

Implements AssetModel as Black model.

Parameters
rDataThe parameters of Black model.
dIntervalThe interval of initial values for the relative change in the spot price of the underlying asset.
rBrownianImplementation of class Brownian. It is used to price standard derivatives.
rApproxImplementation of class Approx. This class is used in numerical implementation of path dependent derivatives.
Returns
Implementation of AssetModel as Black model.
AssetModel cfl::Black::model ( const Data rData,
double  dInterval,
const Brownian rBrownian,
const Extended rExtended 
)

Implements AssetModel as Black model.

Parameters
rDataThe parameters of Black model.
dIntervalThe interval of initial values for the relative change in the spot price of the underlying asset.
rBrownianImplementation of class Brownian. It is used to price standard derivatives.
rExtendedImplementation of class Extended. This class is used in numerical implementation of path dependent derivatives.
Returns
Implementation of AssetModel as Black model.