See: Description
Class | Description |
---|---|
BlackBarrierPriceFormulaRepository |
The price function to compute the price of barrier option in the Black world.
|
BlackFormulaRepository |
The primary repository for Black formulas, including the price, common greeks and implied volatility.
|
BlackOneTouchAssetPriceFormulaRepository |
The price function to compute the price of one-touch or no-touch (asset-or-nothing) option in the Black world.
|
BlackOneTouchCashPriceFormulaRepository |
The price function to compute the price of one-touch or no-touch (cash-or-nothing) option in the Black world.
|
BlackScholesFormulaRepository |
The primary repository for Black-Scholes formulas, including the price and greeks.
|
GenericImpliedVolatiltySolver |
Finds an implied volatility (a parameter that put into a model gives the market pirce of an option)
for any option pricing model that has a 'volatility' parameter.
|
NormalFormulaRepository |
The primary location for normal model formulas.
|
SabrExtrapolationRightFunction |
Pricing function in the SABR model with Hagan et al.
|
Code in this package and subpackages may change in a non-backwards compatible way.
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.