Posted by
Ferdinando M. Ametrano-3 on
Nov 13, 2008; 10:46am
URL: http://quantlib.414.s1.nabble.com/Adding-new-functions-to-blackcalculator-tp13518p13519.html
Hi Dimitri
> I'm new to this list. I'm thinking about adding new functions
> to the blackcalculator, which are in particular needed in the
> FX area. In particular, I'd like to add:
>
> - premium adjusted black scholes deltas (spot and forward)
> - functions, which return the strike for a given black scholes delta or ATM
> quotation
this would be very much appreciated! I've been thinking about tackling
the last issue it's long time now, but never had the occasion.
BTW I've noticed that an algorithm is provided in the last version of
Haug Fomulas book, anyway i don't know if it is the most efficient
algorithm available
As for premium adjusted black scholes deltas I'm not familiar with FX,
but just go ahead and document the features.
And while there, anyone willing to provide Vanna-Volga interpolation?
ciao -- Nando
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