BlackCalculator Class Reference
Black 1976 calculator class. More...
#include <ql/pricingengines/blackcalculator.hpp>

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 |
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:
Member Function Documentation
Real deltaForward | ( | ) | const |
Sensitivity to change in the underlying forward price.
Sensitivity to change in the underlying spot price.
Real elasticityForward | ( | ) | const |
Sensitivity in percent to a percent change in the underlying forward price.
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.
Second order derivative with respect to change in the underlying spot price.
Sensitivity to time to maturity per day, assuming 365 day per year.
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.