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FinMath.h

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00001 /* WARANTY NOTICE AND COPYRIGHT
00002 This program is free software; you can redistribute it and/or
00003 modify it under the terms of the GNU General Public License
00004 as published by the Free Software Foundation; either version 2
00005 of the License, or (at your option) any later version.
00006 
00007 This program is distributed in the hope that it will be useful,
00008 but WITHOUT ANY WARRANTY; without even the implied warranty of
00009 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
00010 GNU General Public License for more details.
00011 
00012 You should have received a copy of the GNU General Public License
00013 along with this program; if not, write to the Free Software
00014 Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.
00015 
00016 Copyright (C) Michael J. Meyer
00017 
00018 matmjm@mindspring.com
00019 spyqqqdia@yahoo.com
00020 
00021 */
00022 
00023 #ifndef martingale_finmath_h    
00024 #define martingale_finmath_h
00025 
00026 
00027 #include "TypedefsMacros.h"
00028 
00029 
00030 MTGL_BEGIN_NAMESPACE(Martingale)
00031 MTGL_BEGIN_NAMESPACE(FinMath)   
00032 
00033 
00034 
00035 
00043 /******************************************************************************* 
00044 
00045                            MULTINORMAL DENSITY
00046                                      
00047 *******************************************************************************/ 
00048  
00049  
00051 Real multiNormalDensity(int dim, Real* z);
00052 
00053 
00054 /******************************************************************************************************* 
00055 
00056                                        N(x), h_+, h_-
00057                                      
00058 *******************************************************************************************************/ 
00059 
00067 Real N(Real x);
00068 
00069   
00088 Real d_plus(Real Q, Real k, Real Sigma);
00089 
00090  
00109 Real d_minus(Real Q, Real k, Real Sigma);
00110 
00111 
00112 
00113 /*******************************************************************************
00114 
00115                                BLACK-SCHOLES FUNCTION
00116                                      
00117 *******************************************************************************/
00118 
00119 
00139 Real blackScholesFunction(Real Q, Real k, Real Sigma);
00140 
00141    
00149 Real dBSF(Real Q, Real k, Real Sigma);
00150 
00151  
00152  
00164 Real bsDiscountedCallPrice(Real S, Real K, Real tau, Real sigma, Real B);
00165 
00166   
00178 Real bsDiscountedPutPrice(Real S, Real K, Real tau, Real sigma, Real B);
00179    
00180 
00181 /*******************************************************************************
00182 
00183                          IMPLIED SIGMAs
00184                                      
00185 *******************************************************************************/
00186 
00187 
00198 Real blackImpliedAggregateCallVolatility(Real Q, Real k, Real y);
00199     
00200 
00201 
00202 
00203 
00204 MTGL_END_NAMESPACE(FinMath)
00205 MTGL_END_NAMESPACE(Martingale)  
00206 
00207 #endif

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