QuantLib_BlackScholesCalculator man page

BlackScholesCalculator — Black-Scholes 1973 calculator class.  

Synopsis

#include <ql/pricingengines/blackscholescalculator.hpp>

Inherits BlackCalculator.

Public Member Functions

BlackScholesCalculator (const boost::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

Protected Attributes

Real spot_
DiscountFactor growth_

Additional Inherited Members

Detailed Description

Black-Scholes 1973 calculator class.

Member Function Documentation

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.

Real theta (Time maturity) const

Sensitivity to time to maturity.

Real thetaPerDay (Time maturity) const

Sensitivity to time to maturity per day (assuming 365 day in a year).

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BlackScholesCalculator(3), growth_(3) and spot_(3) are aliases of QuantLib_BlackScholesCalculator(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib