Internal implementations of option pricing.
Code in this package and subpackages may change in a non-backwards compatible way.
Class Summary Class Description BlackBarrierPriceFormulaRepositoryThe price function to compute the price of barrier option in the Black world. BlackFormulaRepositoryThe primary repository for Black formulas, including the price, common greeks and implied volatility. BlackOneTouchAssetPriceFormulaRepositoryThe price function to compute the price of one-touch or no-touch (asset-or-nothing) option in the Black world. BlackOneTouchCashPriceFormulaRepositoryThe price function to compute the price of one-touch or no-touch (cash-or-nothing) option in the Black world. BlackScholesFormulaRepositoryThe primary repository for Black-Scholes formulas, including the price and greeks. GenericImpliedVolatiltySolverFinds an implied volatility (a parameter that put into a model gives the market pirce of an option) for any option pricing model that has a 'volatility' parameter. NormalFormulaRepositoryThe primary location for normal model formulas. SabrExtrapolationRightFunctionPricing function in the SABR model with Hagan et al.