BlackDeltaCalculator Class Reference

Black delta calculator class. More...

#include <ql/pricingengines/blackdeltacalculator.hpp>

Constructors
	BlackDeltaCalculator (Option::Type ot, DeltaVolQuote::DeltaType dt, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Real stdDev)
	Constructs a BlackDeltaCalculator object This class provides methods to calculate option delta and strike values using the Black-Scholes formula, supporting various FX delta conventions (spot, forward, premium-adjusted, etc.). It is designed for efficient repeated calculations across different strikes, which is useful in volatility smile construction and calibration routines.
Real	deltaFromStrike (Real strike) const
	Computes the option delta for a given strike.
Real	strikeFromDelta (Real delta) const
	Computes the strike corresponding to a given delta.
Real	atmStrike (DeltaVolQuote::AtmType atmT) const
	Calculates the at-the-money (ATM) strike for the given ATM convention.
void	setDeltaType (DeltaVolQuote::DeltaType dt)
	Sets the delta calculation convention.
void	setOptionType (Option::Type ot)
	Sets the option type (call or put).
Real	cumD1 (Real strike) const
Real	cumD2 (Real strike) const
Real	nD1 (Real strike) const
Real	nD2 (Real strike) const

Detailed Description

Black delta calculator class.

Class includes many operations needed for different applications in FX markets, which has special quotation mechanisms, since every price can be expressed in both numeraires.

Constructor & Destructor Documentation

BlackDeltaCalculator()

BlackDeltaCalculator	(	Option::Type	ot,
		DeltaVolQuote::DeltaType	dt,
		Real	spot,
		DiscountFactor	dDiscount,
		DiscountFactor	fDiscount,
		Real	stdDev )

Constructs a BlackDeltaCalculator object This class provides methods to calculate option delta and strike values using the Black-Scholes formula, supporting various FX delta conventions (spot, forward, premium-adjusted, etc.). It is designed for efficient repeated calculations across different strikes, which is useful in volatility smile construction and calibration routines.

Parameters

ot	Option type (call or put)
dt	Delta type (spot, forward, premium-adjusted, etc.)
spot	Spot FX rate
dDiscount	Domestic discount factor
fDiscount	Foreign discount factor
stdDev	Standard deviation of the underlying

Warning

instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)

Member Function Documentation

deltaFromStrike()

Real deltaFromStrike

(

Real

strike

)

const

Computes the option delta for a given strike.

Calculates the delta of an option using the Black-Scholes formula, according to the delta convention specified at construction (spot, forward, premium-adjusted, etc.).

Parameters

strike

The option strike price.

Returns

The option delta under the chosen convention.

strikeFromDelta()

Real strikeFromDelta

(

Real

delta

)

const

Computes the strike corresponding to a given delta.

Inverts the Black-Scholes formula to find the strike that yields the specified delta, according to the delta convention set at construction. Used for constructing volatility smiles and for quoting FX options by delta.

Parameters

delta

The target option delta (under the chosen convention).

Returns

The strike price corresponding to the given delta.

atmStrike()

Real atmStrike

(

DeltaVolQuote::AtmType

atmT

)

const

Calculates the at-the-money (ATM) strike for the given ATM convention.

Computes the strike price that corresponds to "at-the-money" under different conventions commonly used in FX markets. This method does not require an explicit strike input as it determines the ATM level based on the specified convention.

Parameters

atmT

The ATM convention to use: AtmNull: No ATM convention (returns null) AtmSpot: ATM strike equals the current spot rate AtmForward: ATM strike equals the forward rate AtmDeltaNeutral: ATM strike where call and put deltas sum to zero AtmVegaMax: ATM strike that maximizes vega (typically close to forward) AtmGammaMax: ATM strike that maximizes gamma AtmPutCall25: ATM strike where 25-delta call and put have equal volatility

Returns

The ATM strike price according to the specified convention.

Note

This calculation is independent of the strike and uses the forward rate, volatility, and time to expiration set at construction.

setDeltaType()

void setDeltaType

(

DeltaVolQuote::DeltaType

dt

)

Sets the delta calculation convention.

Parameters

dt	The new delta type convention:

setOptionType()

void setOptionType

(

Option::Type

ot

)

Sets the option type (call or put).

Parameters

ot	The option type

cumD1()

Real cumD1

(

Real

strike

)

const

Deprecated

Internal: do not use. Deprecated in version 1.40. This method will be moved in the private section

cumD2()

Real cumD2

(

Real

strike

)

const

Deprecated

Internal: do not use. Deprecated in version 1.40. This method will be moved in the private section

nD1()

Real nD1

(

Real

strike

)

const

Deprecated

Internal: do not use. Deprecated in version 1.40. This method will be moved in the private section

nD2()

Real nD2

(

Real

strike

)

const

Deprecated

Internal: do not use. Deprecated in version 1.40. This method will be moved in the private section