CFL
BlackModel.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2006. All rights reserved.
2 
3 #ifndef __cflBlackModel_hpp__
4 #define __cflBlackModel_hpp__
5 
17 #include "cfl/BlackData.hpp"
18 #include "cfl/Brownian.hpp"
19 #include "cfl/AssetModel.hpp"
20 
21 namespace cfl
22 {
23  namespace Black
24  {
26 
27 
36  AssetModel model(const Data & rData,
37  double dInterval, double dQuality);
38 
50  AssetModel model(const Data & rData,
51  double dInterval, double dQuality, double dPathDependQuality);
52 
64  AssetModel model(const Data & rData,
65  double dInterval, const Brownian & rBrownian,
66  const Approx & rApprox);
67 
79  AssetModel model(const Data & rData,
80  double dInterval, const Brownian & rBrownian,
81  const Extended & rExtended);
83  }
84 }
85 
86 #include "cfl/Inline/iBlackModel.hpp"
87 #endif // of __cflBlackModel_hpp__
88 
Basic financial model where the state process is given by a one-dimensional Brownian motion...
Financial model for a single asset. This file contains basic classes needed to evaluate derivatives o...
Main namespace for cfl library.
Definition: Approx.hpp:22
Parameters of Black model.
AssetModel model(const Data &rData, double dInterval, double dQuality)