QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Black-Scholes 1973 calculator class. More...
#include <blackscholescalculator.hpp>
Public Member Functions | |
BlackScholesCalculator (const ext::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) | |
~BlackScholesCalculator () override=default | |
Real | delta () const |
Real | elasticity () const |
Real | gamma () const |
Real | theta (Time maturity) const |
Real | thetaPerDay (Time maturity) const |
virtual Real | delta (Real spot) const |
virtual Real | elasticity (Real spot) const |
virtual Real | gamma (Real spot) const |
virtual Real | theta (Real spot, Time maturity) const |
virtual Real | thetaPerDay (Real spot, Time maturity) const |
Public Member Functions inherited from BlackCalculator | |
BlackCalculator (const ext::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) | |
BlackCalculator (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0) | |
virtual | ~BlackCalculator ()=default |
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 | strikeGamma () const |
Real | alpha () const |
Real | beta () const |
Protected Attributes | |
Real | spot_ |
DiscountFactor | growth_ |
Protected Attributes inherited from BlackCalculator | |
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_ |
Additional Inherited Members | |
Protected Member Functions inherited from BlackCalculator | |
void | initialize (const ext::shared_ptr< StrikedTypePayoff > &p) |
Black-Scholes 1973 calculator class.
Definition at line 32 of file blackscholescalculator.hpp.
BlackScholesCalculator | ( | const ext::shared_ptr< StrikedTypePayoff > & | payoff, |
Real | spot, | ||
DiscountFactor | growth, | ||
Real | stdDev, | ||
DiscountFactor | discount | ||
) |
Definition at line 24 of file blackscholescalculator.cpp.
BlackScholesCalculator | ( | Option::Type | optionType, |
Real | strike, | ||
Real | spot, | ||
DiscountFactor | growth, | ||
Real | stdDev, | ||
DiscountFactor | discount | ||
) |
Definition at line 39 of file blackscholescalculator.cpp.
|
overridedefault |
Real delta | ( | ) | const |
Sensitivity to change in the underlying spot price.
Definition at line 72 of file blackscholescalculator.hpp.
Real elasticity | ( | ) | const |
Sensitivity in percent to a percent change in the underlying spot price.
Definition at line 76 of file blackscholescalculator.hpp.
Real gamma | ( | ) | const |
Second order derivative with respect to change in the underlying spot price.
Definition at line 80 of file blackscholescalculator.hpp.
Sensitivity to time to maturity.
Definition at line 84 of file blackscholescalculator.hpp.
Sensitivity to time to maturity per day (assuming 365 day in a year).
Definition at line 88 of file blackscholescalculator.hpp.
Sensitivity to change in the underlying spot price.
Reimplemented from BlackCalculator.
Definition at line 57 of file blackcalculator.cpp.
Sensitivity in percent to a percent change in the underlying spot price.
Reimplemented from BlackCalculator.
Definition at line 64 of file blackcalculator.cpp.
Second order derivative with respect to change in the underlying spot price.
Reimplemented from BlackCalculator.
Definition at line 71 of file blackcalculator.cpp.
Sensitivity to time to maturity.
Reimplemented from BlackCalculator.
Definition at line 74 of file blackcalculator.cpp.
Sensitivity to time to maturity per day, assuming 365 day per year.
Reimplemented from BlackCalculator.
Definition at line 78 of file blackcalculator.hpp.
|
protected |
Definition at line 67 of file blackscholescalculator.hpp.
|
protected |
Definition at line 68 of file blackscholescalculator.hpp.