Black-Scholes 1973 calculator class. More...
#include <ql/pricingengines/blackscholescalculator.hpp>
Public Member Functions | |
BlackScholesCalculator (const ext::shared_ptr< StrikedTypePayoff > &payoff, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount) | |
BlackScholesCalculator (Option::Type optionType, Real strike, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount) | |
Real | delta () const |
Real | elasticity () const |
Real | gamma () const |
Real | theta (Time maturity) const |
Real | thetaPerDay (Time maturity) const |
virtual Real | delta (Real spot) const |
virtual Real | elasticity (Real spot) const |
virtual Real | gamma (Real spot) const |
virtual Real | theta (Real spot, Time maturity) const |
virtual Real | thetaPerDay (Real spot, Time maturity) const |
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BlackCalculator (const ext::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) | |
BlackCalculator (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0) | |
Real | value () const |
Real | deltaForward () const |
virtual Real | delta (Real spot) const |
Real | elasticityForward () const |
virtual Real | elasticity (Real spot) const |
Real | gammaForward () const |
virtual Real | gamma (Real spot) const |
virtual Real | theta (Real spot, Time maturity) const |
virtual Real | thetaPerDay (Real spot, Time maturity) const |
Real | vega (Time maturity) const |
Real | rho (Time maturity) const |
Real | dividendRho (Time maturity) const |
Real | itmCashProbability () const |
Real | itmAssetProbability () const |
Real | strikeSensitivity () const |
Real | alpha () const |
Real | beta () const |
Protected Attributes | |
Real | spot_ |
DiscountFactor | growth_ |
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Real | strike_ |
Real | forward_ |
Real | stdDev_ |
Real | discount_ |
Real | variance_ |
Real | d1_ |
Real | d2_ |
Real | alpha_ |
Real | beta_ |
Real | DalphaDd1_ |
Real | DbetaDd2_ |
Real | n_d1_ |
Real | cum_d1_ |
Real | n_d2_ |
Real | cum_d2_ |
Real | x_ |
Real | DxDs_ |
Real | DxDstrike_ |
Additional Inherited Members | |
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void | initialize (const ext::shared_ptr< StrikedTypePayoff > &p) |
Black-Scholes 1973 calculator class.
Real delta | ( | ) | const |
Sensitivity to change in the underlying spot price.
Real elasticity | ( | ) | const |
Sensitivity in percent to a percent change in the underlying spot price.
Real gamma | ( | ) | const |
Second order derivative with respect to change in the underlying spot price.
Sensitivity to time to maturity per day (assuming 365 day in a year).
virtual Real delta |
Sensitivity to change in the underlying spot price.
virtual Real elasticity |
Sensitivity in percent to a percent change in the underlying spot price.
virtual Real gamma |
Second order derivative with respect to change in the underlying spot price.
virtual Real theta |
Sensitivity to time to maturity.
Real thetaPerDay |
Sensitivity to time to maturity per day, assuming 365 day per year.