Main Page | Namespace List | Class Hierarchy | Class List | File List | Class Members | File Members

OptionStrategy.h File Reference

#include "BlackScholes.h"
#include "../../common/types.h"
#include <valarray>

Go to the source code of this file.

Classes

class  OptionStrategy

Variables

const Natural maxNbOptions = 500
const Real defaultshiftRate = 0.0001
const Real defaultshiftVol = 0.0001
const Real defaultshiftMat = 0.01
const Real defaultshiftSpot = 0.0001
const Real defaultshiftStrike = 0.0001


Variable Documentation

const Real defaultshiftMat = 0.01 [static]
 

Definition at line 16 of file OptionStrategy.h.

const Real defaultshiftRate = 0.0001 [static]
 

Definition at line 14 of file OptionStrategy.h.

const Real defaultshiftSpot = 0.0001 [static]
 

Definition at line 17 of file OptionStrategy.h.

const Real defaultshiftStrike = 0.0001 [static]
 

Definition at line 18 of file OptionStrategy.h.

const Real defaultshiftVol = 0.0001 [static]
 

Definition at line 15 of file OptionStrategy.h.

const Natural maxNbOptions = 500 [static]
 

Definition at line 13 of file OptionStrategy.h.


Note: Generated nightly - reload for latest version
Generated on Thu Dec 22 23:12:38 2005 for terreneuve by doxygen 1.3.6