BlackCalculator Class Reference

Black 1976 calculator class. More...

#include <ql/pricingengines/blackcalculator.hpp>

Inheritance diagram for BlackCalculator:

Public Member Functions
	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	strikeGamma () const
Real	alpha () const
Real	beta () const

Protected Member Functions
void	initialize (const ext::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_

Detailed Description

Black 1976 calculator class.

Examples

DiscreteHedging.cpp.

Member Function Documentation

deltaForward()

Real deltaForward

(

)

const

Sensitivity to change in the underlying forward price.

delta()

virtual Real delta ( Real spot ) const

virtual

Sensitivity to change in the underlying spot price.

Reimplemented in BlackScholesCalculator.

elasticityForward()

Real elasticityForward

(

)

const

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

elasticity()

virtual Real elasticity ( Real spot ) const

virtual

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

Reimplemented in BlackScholesCalculator.

gammaForward()

Real gammaForward

(

)

const

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

gamma()

virtual Real gamma ( Real spot ) const

virtual

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

Reimplemented in BlackScholesCalculator.

theta()

virtual Real theta ( Real spot, Time maturity ) const

virtual

Sensitivity to time to maturity.

Reimplemented in BlackScholesCalculator.

thetaPerDay()

Real thetaPerDay ( Real spot, Time maturity ) const

virtual

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

Reimplemented in BlackScholesCalculator.

vega()

Real vega

(

Time

maturity

)

const

Sensitivity to volatility.

Examples

DiscreteHedging.cpp.

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(d2). 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(d1). 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.