BlackCalculator Class Reference
#include <ql/pricingengines/blackcalculator.hpp>
Inheritance diagram for BlackCalculator:

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:
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.