QuantLib_BlackCalculator man page

BlackCalculator — Black 1976 calculator class.

Synopsis

#include <ql/pricingengines/blackcalculator.hpp>

Inherited by BlackScholesCalculator.

Public Member Functions

BlackCalculator (const boost::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 Member Functions

void initialize (const boost::shared_ptr< StrikedTypePayoff > &p)

Protected Attributes

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_

Friends

class Calculator

Detailed Description

Black 1976 calculator class.

Bug

When the variance is null, division by zero occur during the calculation of delta, delta forward, gamma, gamma forward, rho, dividend rho, vega, and strike sensitivity.

Examples: DiscreteHedging.cpp.

Member Function Documentation

Real deltaForward () const

Sensitivity to change in the underlying forward price.

virtual Real delta (Real spot) const [virtual]

Sensitivity to change in the underlying spot price.

Examples: DiscreteHedging.cpp.

Real elasticityForward () const

Sensitivity in percent to a percent change in the underlying forward price.

virtual Real elasticity (Real spot) const [virtual]

Sensitivity in percent to a percent change in the underlying spot price.

Real gammaForward () const

Second order derivative with respect to change in the underlying forward price.

virtual Real gamma (Real spot) const [virtual]

Second order derivative with respect to change in the underlying spot price.

virtual Real theta (Real spot, Time maturity) const [virtual]

Sensitivity to time to maturity.

Real thetaPerDay (Real spot, Time maturity) const [virtual]

Sensitivity to time to maturity per day, assuming 365 day per year.

Real vega (Time maturity) const

Sensitivity to volatility.

Examples: DiscreteHedging.cpp.

Real rho (Time maturity) const

Sensitivity to discounting rate.

Real dividendRho (Time maturity) const

Sensitivity to dividend/growth rate.

Real itmCashProbability () const

Probability of being in the money in the bond martingale measure, i.e. N(d2). It is a risk-neutral probability, not the real world one.

Real itmAssetProbability () const

Probability of being in the money in the asset martingale measure, i.e. N(d1). It is a risk-neutral probability, not the real world one.

Real strikeSensitivity () const

Sensitivity to strike.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

alpha(3), alpha_(3), beta(3), beta_(3), BlackCalculator(3), Calculator(3), cum_d1_(3), cum_d2_(3), d1_(3), d2_(3), DalphaDd1_(3), DbetaDd2_(3), deltaForward(3), discount_(3), dividendRho(3), DxDs_(3), DxDstrike_(3), elasticity(3), elasticityForward(3), forward_(3), gammaForward(3), initialize(3), itmAssetProbability(3), itmCashProbability(3), n_d1_(3), n_d2_(3), stdDev_(3), strike_(3), strikeSensitivity(3), theta(3), thetaPerDay(3), variance_(3), vega(3) and x_(3) are aliases of QuantLib_BlackCalculator(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib