BlackCalculator Class Reference

#include <ql/pricingengines/blackcalculator.hpp>

Inheritance diagram for BlackCalculator:

Inheritance graph
[legend]
List of all members.

Detailed Description

Black 1976 calculator class.

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:

DiscreteHedging.cpp.


Public Member Functions

 BlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, 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 alpha () const
Real beta () const

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_

Friends

class Calculator


Member Function Documentation

Real deltaForward (  )  const

Sensitivity to change in the underlying forward price.

virtual Real delta ( Real  spot  )  const [virtual]

Sensitivity to change in the underlying spot price.

Real elasticityForward (  )  const

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

virtual Real elasticity ( Real  spot  )  const [virtual]

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

Real gammaForward (  )  const

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

virtual Real gamma ( Real  spot  )  const [virtual]

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

virtual Real theta ( Real  spot,
Time  maturity 
) const [virtual]

Sensitivity to time to maturity.

virtual Real thetaPerDay ( Real  spot,
Time  maturity 
) const [virtual]

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

Real vega ( Time  maturity  )  const

Sensitivity to volatility.

Real rho ( Time  maturity  )  const

Sensitivity to discounting rate.

Real dividendRho ( Time  maturity  )  const

Sensitivity to dividend/growth rate.

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.

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.

Real strikeSensitivity (  )  const

Sensitivity to strike.