Black-Scholes 1973 calculator class. More...
#include <blackscholescalculator.hpp>
Inheritance diagram for BlackScholesCalculator:
Collaboration 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) | |
| ~BlackScholesCalculator () override=default | |
| 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) | |
| virtual | ~BlackCalculator ()=default |
| 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 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.
Definition at line 32 of file blackscholescalculator.hpp.
Constructor & Destructor Documentation
◆ BlackScholesCalculator() [1/2]
| BlackScholesCalculator | ( | const ext::shared_ptr< StrikedTypePayoff > & | payoff, |
| Real | spot, | ||
| DiscountFactor | growth, | ||
| Real | stdDev, | ||
| DiscountFactor | discount | ||
| ) |
Definition at line 24 of file blackscholescalculator.cpp.
◆ BlackScholesCalculator() [2/2]
| BlackScholesCalculator | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | spot, | ||
| DiscountFactor | growth, | ||
| Real | stdDev, | ||
| DiscountFactor | discount | ||
| ) |
Definition at line 39 of file blackscholescalculator.cpp.
◆ ~BlackScholesCalculator()
|
overridedefault |
Member Function Documentation
◆ delta() [1/2]
| Real delta | ( | ) | const |
Sensitivity to change in the underlying spot price.
Definition at line 72 of file blackscholescalculator.hpp.
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◆ elasticity() [1/2]
| Real elasticity | ( | ) | const |
Sensitivity in percent to a percent change in the underlying spot price.
Definition at line 76 of file blackscholescalculator.hpp.
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◆ gamma() [1/2]
| Real gamma | ( | ) | const |
Second order derivative with respect to change in the underlying spot price.
Definition at line 80 of file blackscholescalculator.hpp.
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◆ theta() [1/2]
Sensitivity to time to maturity.
Definition at line 84 of file blackscholescalculator.hpp.
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◆ thetaPerDay() [1/2]
Sensitivity to time to maturity per day (assuming 365 day in a year).
Definition at line 88 of file blackscholescalculator.hpp.
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◆ delta() [2/2]
Sensitivity to change in the underlying spot price.
Reimplemented from BlackCalculator.
Definition at line 57 of file blackcalculator.cpp.
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◆ elasticity() [2/2]
Sensitivity in percent to a percent change in the underlying spot price.
Reimplemented from BlackCalculator.
Definition at line 64 of file blackcalculator.cpp.
◆ gamma() [2/2]
Second order derivative with respect to change in the underlying spot price.
Reimplemented from BlackCalculator.
Definition at line 71 of file blackcalculator.cpp.
◆ theta() [2/2]
Sensitivity to time to maturity.
Reimplemented from BlackCalculator.
Definition at line 74 of file blackcalculator.cpp.
◆ thetaPerDay() [2/2]
Sensitivity to time to maturity per day, assuming 365 day per year.
Reimplemented from BlackCalculator.
Definition at line 78 of file blackcalculator.hpp.
Member Data Documentation
◆ spot_
|
protected |
Definition at line 67 of file blackscholescalculator.hpp.
◆ growth_
|
protected |
Definition at line 68 of file blackscholescalculator.hpp.