BachelierSpec Struct Reference

#include <qle/pricingengines/blackswaptionenginedeltagamma.hpp>

Collaboration diagram for BachelierSpec:

Public Member Functions
Real	value (const Option::Type type, const Real strike, const Real atmForward, const Real stdDev, const Real annuity, const Real)
Real	vega (const Real strike, const Real atmForward, const Real stdDev, const Real exerciseTime, const Real annuity, const Real)
Real	delta (const Option::Type type, const Real strike, const Real atmForward, const Real stdDev, const Real annuity, const Real displacement)
Real	gamma (const Real strike, const Real atmForward, const Real stdDev, const Real annuity, const Real displacement)
Real	theta (const Real strike, const Real atmForward, const Real stdDev, const Real exerciseTime, const Real annuity, const Real displacement)

Static Public Attributes
static const VolatilityType	type = Normal

Detailed Description

Definition at line 144 of file blackswaptionenginedeltagamma.hpp.

Member Function Documentation

value()

Real value	(	const Option::Type	type,
		const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	annuity,
		const	Real
	)

Definition at line 146 of file blackswaptionenginedeltagamma.hpp.

                           {
        return bachelierBlackFormula(type, strike, atmForward, stdDev, annuity);
    }

vega()

Real vega	(	const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	exerciseTime,
		const Real	annuity,
		const	Real
	)

Definition at line 150 of file blackswaptionenginedeltagamma.hpp.

                          {
        return std::sqrt(exerciseTime) * bachelierBlackFormulaStdDevDerivative(strike, atmForward, stdDev, annuity);
    }

delta()

Real delta	(	const Option::Type	type,
		const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	annuity,
		const Real	displacement
	)

Definition at line 154 of file blackswaptionenginedeltagamma.hpp.

                                        {
        QuantLib::CumulativeNormalDistribution cnd;
        Real d1 = (atmForward - strike) / stdDev;
        Real w = type == Option::Call ? 1.0 : -1.0;
        return annuity * w * cnd(w * d1);
    }

gamma()

Real gamma	(	const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	annuity,
		const Real	displacement
	)

Definition at line 161 of file blackswaptionenginedeltagamma.hpp.

                                        {
        QuantLib::CumulativeNormalDistribution cnd;
        Real d1 = (atmForward - strike) / stdDev;
        return annuity * cnd.derivative(d1) / stdDev;
    }

theta()

Real theta	(	const Real	strike,
		const Real	atmForward,
		const Real	stdDev,
		const Real	exerciseTime,
		const Real	annuity,
		const Real	displacement
	)

Definition at line 167 of file blackswaptionenginedeltagamma.hpp.

                                        {
        QuantLib::CumulativeNormalDistribution cnd;
        Real d1 = (atmForward - strike) / stdDev;
        return -0.5 * annuity * cnd.derivative(d1) * stdDev / exerciseTime;
    }

Member Data Documentation

type

const VolatilityType type = Normal

static

Definition at line 145 of file blackswaptionenginedeltagamma.hpp.