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

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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.

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