quantlib.pricingengines.blackformula.blackFormula

blackFormula(OptionType option_type, Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)

Black 1976 formula

Parameters:

• option_type (str or option.Call/Put)

• strike (float)

• forward (float)

• std_dev (float)

• discount (float)

• displacement (float)

Warning

Instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)