com.walkfares.function.vollib.VolLib

public class VolLib
extends Object

This source code resides at www.jaeckel.org/LetsBeRational.7z .

Permission to use, copy, modify, and distribute this software is freely granted, provided that this notice is preserved.

WARRANTY DISCLAIMER The Software is provided "as is" without warranty of any kind, either express or implied, including without limitation any implied warranties of condition, uninterrupted use, merchantability, fitness for a particular purpose, or non-infringement. ======================================================================================

#include "lets_be_rational.h"

To cross-compile on a command line, you could just use something like

i686-w64-mingw32-g++ -w -fpermissive -shared -DNDEBUG -Ofast erf_cody.cpp rationalcubic.cpp normaldistribution.cpp lets_be_rational.cpp xlcall.cpp excel_registration.cpp xlcall32.lib -o lets_be_rational.xll -static-libstdc++ -static-libgcc -s

To compile into a shared library on non-Windows system, you could try

g++ -fPIC -shared -DNDEBUG -Ofast erf_cody.cpp rationalcubic.cpp normaldistribution.cpp lets_be_rational.cpp -o lets_be_rational.so

Constructor Summary

Constructors

Constructor Description

VolLib()

Method Summary

Modifier and Type	Method	Description
`static double`	`black(double F, double K, double sigma, double T, double q)`
`static double`	`implied_volatility_from_a_transformed_rational_guess(double price, double F, double K, double T, double q)`
`static double`	`implied_volatility_from_a_transformed_rational_guess_with_limited_iterations(double price, double F, double K, double T, double q, int N)`
`static double`	`normalised_black(double x, double s, double q)`
`static double`	`normalised_black_call(double x, double s)`
`static double`	`normalised_implied_volatility_from_a_transformed_rational_guess(double beta, double x, double q)`
`static double`	`normalised_implied_volatility_from_a_transformed_rational_guess_with_limited_iterations(double beta, double x, double q, int N)`
`static double`	`normalised_vega(double x, double s)`

Methods inherited from class java.lang.Object

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

Constructor Details
- VolLib
  
  public VolLib()
Method Details
- normalised_black_call
  
  public static double normalised_black_call(double x, double s)
- normalised_vega
  
  public static double normalised_vega(double x, double s)
- normalised_black
  
  public static double normalised_black(double x, double s, double q)
- black
  
  public static double black(double F, double K, double sigma, double T, double q)
- implied_volatility_from_a_transformed_rational_guess_with_limited_iterations
  
  public static double implied_volatility_from_a_transformed_rational_guess_with_limited_iterations(double price, double F, double K, double T, double q, int N) throws VolatilityValueException
  
  Throws:
  
  VolatilityValueException
- implied_volatility_from_a_transformed_rational_guess
  
  public static double implied_volatility_from_a_transformed_rational_guess(double price, double F, double K, double T, double q) throws VolatilityValueException
  
  Throws:
  
  VolatilityValueException
- normalised_implied_volatility_from_a_transformed_rational_guess_with_limited_iterations
  
  public static double normalised_implied_volatility_from_a_transformed_rational_guess_with_limited_iterations(double beta, double x, double q, int N) throws VolatilityValueException
  
  Throws:
  
  VolatilityValueException
- normalised_implied_volatility_from_a_transformed_rational_guess
  
  public static double normalised_implied_volatility_from_a_transformed_rational_guess(double beta, double x, double q) throws VolatilityValueException
  
  Throws:
  
  VolatilityValueException

Class VolLib

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Constructor Details

Method Details