black76 0.24.2

Black76 option pricing model calculator
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34

//
// This source code resides at www.jaeckel.org/LetsBeRational.7z .
//
// ======================================================================================
// Copyright © 2013-2014 Peter Jäckel.
// 
// 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.
// ======================================================================================
//
#ifndef   RATIONAL_CUBIC_H
#define   RATIONAL_CUBIC_H

// Based on
//
//    “Shape preserving piecewise rational interpolation”, R. Delbourgo, J.A. Gregory - SIAM journal on scientific and statistical computing, 1985 - SIAM.
//    http://dspace.brunel.ac.uk/bitstream/2438/2200/1/TR_10_83.pdf  [caveat emptor: there are some typographical errors in that draft version]
//

#include "importexport.h"

EXPORT_EXTERN_C double rational_cubic_interpolation(double x, double x_l, double x_r, double y_l, double y_r, double d_l, double d_r, double r);
EXPORT_EXTERN_C double rational_cubic_control_parameter_to_fit_second_derivative_at_left_side(double x_l, double x_r, double y_l, double y_r, double d_l, double d_r, double second_derivative_l);
EXPORT_EXTERN_C double rational_cubic_control_parameter_to_fit_second_derivative_at_right_side(double x_l, double x_r, double y_l, double y_r, double d_l, double d_r, double second_derivative_r);
EXPORT_EXTERN_C double minimum_rational_cubic_control_parameter(double d_l, double d_r, double s, bool preferShapePreservationOverSmoothness);
EXPORT_EXTERN_C double convex_rational_cubic_control_parameter_to_fit_second_derivative_at_left_side(double x_l, double x_r, double y_l, double y_r, double d_l, double d_r, double second_derivative_l, bool preferShapePreservationOverSmoothness);
EXPORT_EXTERN_C double convex_rational_cubic_control_parameter_to_fit_second_derivative_at_right_side(double x_l, double x_r, double y_l, double y_r, double d_l, double d_r, double second_derivative_r, bool preferShapePreservationOverSmoothness);

#endif // RATIONAL_CUBIC_H