BachelierCalculator Class Reference

Bachelier calculator class. More...

#include <ql/pricingengines/bacheliercalculator.hpp>

Public Member Functions
	BachelierCalculator (const ext::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0)
	BachelierCalculator (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0)
Real	value () const
Real	deltaForward () const
Real	delta (Real spot) const
Real	elasticityForward () const
Real	elasticity (Real spot) const
Real	gammaForward () const
Real	gamma (Real spot) const
Real	theta (Real spot, Time maturity) const
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	strikeGamma () const
Real	alpha () const
Real	beta () const

Protected Member Functions
void	initialize (const ext::shared_ptr< StrikedTypePayoff > &p)

Protected Attributes
Real	strike_
	Member variables.
Real	forward_
Real	stdDev_
Real	discount_
Real	variance_
Real	d_
Real	alpha_
Real	beta_
Real	DalphaDd_
Real	DbetaDd_
Real	n_d_
Real	cum_d_
Real	x_
Real	DxDs_
Real	DxDstrike_

Detailed Description

Bachelier calculator class.

Member Function Documentation

deltaForward()

Real deltaForward

(

)

const

Sensitivity to change in the underlying forward price.

delta()

Real delta

(

Real

spot

)

const

Sensitivity to change in the underlying spot price.

elasticityForward()

Real elasticityForward

(

)

const

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

elasticity()

Real elasticity

(

Real

spot

)

const

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

gammaForward()

Real gammaForward

(

)

const

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

gamma()

Real gamma

(

Real

spot

)

const

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

theta()

Real theta	(	Real	spot,
		Time	maturity ) const

Sensitivity to time to maturity.

thetaPerDay()

Real thetaPerDay	(	Real	spot,
		Time	maturity ) const

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

vega()

Real vega

(

Time

maturity

)

const

Sensitivity to volatility.

rho()

Real rho

(

Time

maturity

)

const

Sensitivity to discounting rate.

dividendRho()

Real dividendRho

(

Time

maturity

)

const

Sensitivity to dividend/growth rate.

itmCashProbability()

Real itmCashProbability

(

)

const

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

itmAssetProbability()

Real itmAssetProbability

(

)

const

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

strikeSensitivity()

Real strikeSensitivity

(

)

const

Sensitivity to strike.

strikeGamma()

Real strikeGamma

(

)

const

gamma w.r.t. strike.