BlackScholesCalculator Class Reference

Black-Scholes 1973 calculator class. More...

#include <ql/pricingengines/blackscholescalculator.hpp>

Inheritance diagram for BlackScholesCalculator:

Public Member Functions
	BlackScholesCalculator (const ext::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 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
Real	elasticityForward () const
Real	gammaForward () 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 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 ext::shared_ptr< StrikedTypePayoff > &p)

Detailed Description

Black-Scholes 1973 calculator class.

Member Function Documentation

delta() [1/2]

Real delta

(

)

const

Sensitivity to change in the underlying spot price.

elasticity() [1/2]

Real elasticity

(

)

const

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

gamma() [1/2]

Real gamma

(

)

const

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

theta() [1/2]

Real theta

(

Time

maturity

)

const

Sensitivity to time to maturity.

thetaPerDay() [1/2]

Real thetaPerDay

(

Time

maturity

)

const

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

delta() [2/2]

virtual Real delta ( Real spot ) const

virtual

Sensitivity to change in the underlying spot price.

Reimplemented from BlackCalculator.

elasticity() [2/2]

virtual Real elasticity ( Real spot ) const

virtual

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

Reimplemented from BlackCalculator.

gamma() [2/2]

virtual Real gamma ( Real spot ) const

virtual

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

Reimplemented from BlackCalculator.

theta() [2/2]

virtual Real theta ( Real spot, Time maturity ) const

virtual

Sensitivity to time to maturity.

Reimplemented from BlackCalculator.

thetaPerDay() [2/2]

Real thetaPerDay ( Real spot, Time maturity ) const

virtual

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

Reimplemented from BlackCalculator.