BlackFormula Class Reference
#include <ql/PricingEngines/blackformula.hpp>
Detailed Description
Black-formula calculator.
- Bug:
- When the variance is null, division by zero occur during the calculation of delta, delta forward, gamma, gamma forward, rho, dividend rho, vega, and strike sensitivity.
- Examples:
Public Member Functions | |
BlackFormula (Real forward, DiscountFactor discount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff) | |
Real | value () const |
Real | delta (Real spot) const |
Real | elasticity (Real spot) const |
Sensitivity in percent to a percent movement in the underlying. | |
Real | gamma (Real spot) const |
Real | deltaForward () const |
Real | elasticityForward () const |
Sensitivity in percent to a percent movement in the forward price. | |
Real | gammaForward () 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 | alpha () const |
Real | beta () const |
Friends | |
class | Calculator |
Member Function Documentation
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Probability of being in the money in the bond martingale measure. It is a risk-neutral probability, not the real world probability. |
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Probability of being in the money in the asset martingale measure. It is a risk-neutral probability, not the real world probability. |