Black-Scholes 1973 calculator class. More...
#include <ql/pricingengines/blackscholescalculator.hpp>
Inheritance diagram for BlackScholesCalculator: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 |
| 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 |
Public Member Functions inherited from BlackCalculator | |
| 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 Attributes | |
| Real | spot_ |
| DiscountFactor | growth_ |
Protected Attributes inherited from BlackCalculator | |
| 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 | |
Protected Member Functions inherited from BlackCalculator | |
| void | initialize (const boost::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.