HQu-0.0.0.3: quantitative finance library

Safe Haskell	None
Language	Haskell2010

Q.Options.Black76

Synopsis

module Q.Options
data Black76 = Black76 {
- b76F :: Forward
- b76DF :: DF
- b76T :: YearFrac
- b76Vol :: Vol
}
atmf :: Black76 -> Strike
euOption :: Black76 -> OptionType -> Strike -> Valuation
eucall :: Black76 -> Strike -> Valuation
euput :: Black76 -> Strike -> Valuation

Documentation

module Q.Options

data Black76 Source #

Constructors

Black76
Fields b76F :: Forward b76DF :: DF b76T :: YearFrac b76Vol :: Vol

Instances

Instances details

TimeSlice Black76 k Source #
Instance details Defined in Q.Options.ImpliedVol.TimeSlice Methods totalVar :: Black76 -> k -> TotalVar Source #

atmf :: Black76 -> Strike Source #

At the money forward strike.

euOption :: Black76 -> OptionType -> Strike -> Valuation Source #

European option valuation with black 76

eucall :: Black76 -> Strike -> Valuation Source #

euput :: Black76 -> Strike -> Valuation Source #