Black76Spec Struct Reference

#include <qle/pricingengines/blackswaptionenginedeltagamma.hpp>

Collaboration diagram for Black76Spec:

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

Detailed Description

Definition at line 111 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	displacement
	)

Definition at line 113 of file blackswaptionenginedeltagamma.hpp.

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

vega()

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

Definition at line 117 of file blackswaptionenginedeltagamma.hpp.

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

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 122 of file blackswaptionenginedeltagamma.hpp.

                                        {
        QuantLib::CumulativeNormalDistribution cnd;
        Real d1 = std::log((atmForward + displacement) / (strike + displacement)) / stdDev + 0.5 * 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 129 of file blackswaptionenginedeltagamma.hpp.

                                        {
        QuantLib::CumulativeNormalDistribution cnd;
        Real d1 = std::log((atmForward + displacement) / (strike + displacement)) / stdDev + 0.5 * stdDev;
        return annuity * cnd.derivative(d1) / ((atmForward + displacement) * 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 135 of file blackswaptionenginedeltagamma.hpp.

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

Member Data Documentation

type

const VolatilityType type = ShiftedLognormal

static

Definition at line 112 of file blackswaptionenginedeltagamma.hpp.