Package jdistlib.finance

Class ReferenceOptions

java.lang.Object

jdistlib.finance.ReferenceOptions

public final class ReferenceOptions
extends Object

Reference Black-Scholes/Bachelier transformations and checked inversion.

Method Summary

Modifier and Type	Method	Description
static double	bachelier(double forward, double strike, double discount, double maturity, double normalVolatility, boolean call)
static double	blackScholes(double forward, double strike, double discount, double maturity, double volatility, boolean call)
static ImpliedVolatilityResult	impliedBachelier(double price, double forward, double strike, double discount, double maturity, boolean call)
static ImpliedVolatilityResult	impliedBlackScholes(double price, double forward, double strike, double discount, double maturity, boolean call)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

blackScholes

public static double blackScholes(double forward,
 double strike,
 double discount,
 double maturity,
 double volatility,
 boolean call)

bachelier

public static double bachelier(double forward,
 double strike,
 double discount,
 double maturity,
 double normalVolatility,
 boolean call)

impliedBlackScholes

public static ImpliedVolatilityResult impliedBlackScholes(double price,
 double forward,
 double strike,
 double discount,
 double maturity,
 boolean call)

impliedBachelier

public static ImpliedVolatilityResult impliedBachelier(double price,
 double forward,
 double strike,
 double discount,
 double maturity,
 boolean call)