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fully annotated source code - version 1.34
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Public Member Functions | Private Member Functions | Private Attributes | List of all members
BlackDeltaCalculator Class Reference

Black delta calculator class. More...

#include <blackdeltacalculator.hpp>

+ Collaboration diagram for BlackDeltaCalculator:

Public Member Functions

 BlackDeltaCalculator (Option::Type ot, DeltaVolQuote::DeltaType dt, Real spot, DiscountFactor dDiscount, DiscountFactor fDiscount, Real stdDev)
 
Real deltaFromStrike (Real strike) const
 
Real strikeFromDelta (Real delta) const
 
Real cumD1 (Real strike) const
 
Real cumD2 (Real strike) const
 
Real nD1 (Real strike) const
 
Real nD2 (Real strike) const
 
void setDeltaType (DeltaVolQuote::DeltaType dt)
 
void setOptionType (Option::Type ot)
 
Real atmStrike (DeltaVolQuote::AtmType atmT) const
 

Private Member Functions

Real strikeFromDelta (Real delta, DeltaVolQuote::DeltaType dt) const
 

Private Attributes

DeltaVolQuote::DeltaType dt_
 
Option::Type ot_
 
DiscountFactor dDiscount_
 
DiscountFactor fDiscount_
 
Real stdDev_
 
Real spot_
 
Real forward_
 
Integer phi_
 
Real fExpPos_
 
Real fExpNeg_
 

Detailed Description

Black delta calculator class.

Class includes many operations needed for different applications in FX markets, which has special quoation mechanisms, since every price can be expressed in both numeraires.

Definition at line 39 of file blackdeltacalculator.hpp.

Constructor & Destructor Documentation

◆ BlackDeltaCalculator()

BlackDeltaCalculator ( Option::Type  ot,
DeltaVolQuote::DeltaType  dt,
Real  spot,
DiscountFactor  dDiscount,
DiscountFactor  fDiscount,
Real  stdDev 
)

Definition at line 24 of file blackdeltacalculator.cpp.

Member Function Documentation

◆ deltaFromStrike()

Real deltaFromStrike ( Real  strike) const

Definition at line 54 of file blackdeltacalculator.cpp.

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◆ strikeFromDelta() [1/2]

Real strikeFromDelta ( Real  delta) const

Definition at line 85 of file blackdeltacalculator.cpp.

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◆ cumD1()

Real cumD1 ( Real  strike) const

Definition at line 216 of file blackdeltacalculator.cpp.

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◆ cumD2()

Real cumD2 ( Real  strike) const

Definition at line 264 of file blackdeltacalculator.cpp.

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◆ nD1()

Real nD1 ( Real  strike) const

Definition at line 247 of file blackdeltacalculator.cpp.

◆ nD2()

Real nD2 ( Real  strike) const

Definition at line 299 of file blackdeltacalculator.cpp.

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◆ setDeltaType()

void setDeltaType ( DeltaVolQuote::DeltaType  dt)

Definition at line 316 of file blackdeltacalculator.cpp.

◆ setOptionType()

void setOptionType ( Option::Type  ot)

Definition at line 320 of file blackdeltacalculator.cpp.

◆ atmStrike()

Real atmStrike ( DeltaVolQuote::AtmType  atmT) const

Definition at line 177 of file blackdeltacalculator.cpp.

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◆ strikeFromDelta() [2/2]

Real strikeFromDelta ( Real  delta,
DeltaVolQuote::DeltaType  dt 
) const
private

Definition at line 89 of file blackdeltacalculator.cpp.

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Member Data Documentation

◆ dt_

Definition at line 75 of file blackdeltacalculator.hpp.

◆ ot_

Option::Type ot_
private

Definition at line 76 of file blackdeltacalculator.hpp.

◆ dDiscount_

DiscountFactor dDiscount_
private

Definition at line 77 of file blackdeltacalculator.hpp.

◆ fDiscount_

DiscountFactor fDiscount_
private

Definition at line 77 of file blackdeltacalculator.hpp.

◆ stdDev_

Real stdDev_
private

Definition at line 79 of file blackdeltacalculator.hpp.

◆ spot_

Real spot_
private

Definition at line 79 of file blackdeltacalculator.hpp.

◆ forward_

Real forward_
private

Definition at line 79 of file blackdeltacalculator.hpp.

◆ phi_

Integer phi_
private

Definition at line 80 of file blackdeltacalculator.hpp.

◆ fExpPos_

Real fExpPos_
private

Definition at line 81 of file blackdeltacalculator.hpp.

◆ fExpNeg_

Real fExpNeg_
private

Definition at line 81 of file blackdeltacalculator.hpp.