BlackScholesCalculator Class Reference

Black-Scholes 1973 calculator class. More...

#include <ql/pricingengines/blackscholescalculator.hpp>

Inheritance diagram for BlackScholesCalculator:

List of all members.

Public Member Functions

 BlackScholesCalculator (const boost::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)
Real delta () const
Real elasticity () const
Real gamma () const
Real theta (Time maturity) const
Real thetaPerDay (Time maturity) const

Protected Attributes

Real spot_
DiscountFactor growth_

Detailed Description

Black-Scholes 1973 calculator class.


Member Function Documentation

Real delta ( ) const

Sensitivity to change in the underlying spot price.

Real elasticity ( ) const

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

Real gamma ( ) const

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

Real theta ( Time  maturity) const

Sensitivity to time to maturity.

Real thetaPerDay ( Time  maturity) const

Sensitivity to time to maturity per day (assuming 365 day in a year).