BlackCalculator Class Reference

Black 1976 calculator class. More...

#include <blackcalculator.hpp>

Inheritance diagram for BlackCalculator:

Collaboration diagram for BlackCalculator:

Public Member Functions
	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 Member Functions
void	initialize (const ext::shared_ptr< StrikedTypePayoff > &p)

Protected Attributes
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_

Detailed Description

Black 1976 calculator class.

Bug:

When the variance is null, division by zero occur during the calculation of delta, delta forward, gamma, gamma forward, rho, dividend rho, vega, and strike sensitivity.

Examples

DiscreteHedging.cpp.

Definition at line 37 of file blackcalculator.hpp.

Constructor & Destructor Documentation

BlackCalculator() [1/2]

BlackCalculator	(	const ext::shared_ptr< StrikedTypePayoff > &	payoff,
		Real	forward,
		Real	stdDev,
		Real	discount = 1.0
	)

Definition at line 45 of file blackcalculator.cpp.

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BlackCalculator() [2/2]

BlackCalculator	(	Option::Type	optionType,
		Real	strike,
		Real	forward,
		Real	stdDev,
		Real	discount = 1.0
	)

Definition at line 54 of file blackcalculator.cpp.

~BlackCalculator()

virtual ~BlackCalculator ( )

virtualdefault

Member Function Documentation

value()

Real value

(

)

const

Examples

DiscreteHedging.cpp.

Definition at line 197 of file blackcalculator.cpp.

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deltaForward()

Real deltaForward

(

)

const

Sensitivity to change in the underlying forward price.

Definition at line 218 of file blackcalculator.cpp.

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delta()

Real delta ( Real  spot ) const

virtual

Sensitivity to change in the underlying spot price.

Reimplemented in BlackScholesCalculator.

Definition at line 202 of file blackcalculator.cpp.

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elasticityForward()

Real elasticityForward

(

)

const

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

Definition at line 242 of file blackcalculator.cpp.

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elasticity()

Real elasticity ( Real  spot ) const

virtual

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

Reimplemented in BlackScholesCalculator.

Definition at line 229 of file blackcalculator.cpp.

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gammaForward()

Real gammaForward

(

)

const

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

Definition at line 275 of file blackcalculator.cpp.

gamma()

Real gamma ( Real  spot ) const

virtual

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

Reimplemented in BlackScholesCalculator.

Definition at line 255 of file blackcalculator.cpp.

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theta()

Real theta ( Real  spot, Time  maturity  ) const

virtual

Sensitivity to time to maturity.

Reimplemented in BlackScholesCalculator.

Definition at line 290 of file blackcalculator.cpp.

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thetaPerDay()

Real thetaPerDay ( Real  spot, Time  maturity  ) const

virtual

Sensitivity to time to maturity per day, assuming 365 day per year.

Reimplemented in BlackScholesCalculator.

Definition at line 120 of file blackcalculator.hpp.

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vega()

Real vega

(

Time

maturity

)

const

Sensitivity to volatility.

Examples

DiscreteHedging.cpp.

Definition at line 301 of file blackcalculator.cpp.

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rho()

Real rho

(

Time

maturity

)

const

Sensitivity to discounting rate.

Definition at line 316 of file blackcalculator.cpp.

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dividendRho()

Real dividendRho

(

Time

maturity

)

const

Sensitivity to dividend/growth rate.

Definition at line 328 of file blackcalculator.cpp.

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itmCashProbability()

Real itmCashProbability

(

)

const

Probability of being in the money in the bond martingale measure, i.e. N(d2). It is a risk-neutral probability, not the real world one.

Definition at line 125 of file blackcalculator.hpp.

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itmAssetProbability()

Real itmAssetProbability

(

)

const

Probability of being in the money in the asset martingale measure, i.e. N(d1). It is a risk-neutral probability, not the real world one.

Definition at line 129 of file blackcalculator.hpp.

strikeSensitivity()

Real strikeSensitivity

(

)

const

Sensitivity to strike.

Definition at line 341 of file blackcalculator.cpp.

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strikeGamma()

Real strikeGamma

(

)

const

gamma w.r.t. strike.

Definition at line 354 of file blackcalculator.cpp.

alpha()

Real alpha

(

)

const

Definition at line 133 of file blackcalculator.hpp.

beta()

Real beta

(

)

const

Definition at line 137 of file blackcalculator.hpp.

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initialize()

void initialize ( const ext::shared_ptr< StrikedTypePayoff > &  p )

protected

Definition at line 65 of file blackcalculator.cpp.

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Member Data Documentation

strike_

Real strike_

protected

Definition at line 112 of file blackcalculator.hpp.

forward_

Real forward_

protected

Definition at line 112 of file blackcalculator.hpp.

stdDev_

Real stdDev_

protected

Definition at line 112 of file blackcalculator.hpp.

discount_

Real discount_

protected

Definition at line 112 of file blackcalculator.hpp.

variance_

Real variance_

protected

Definition at line 112 of file blackcalculator.hpp.

d1_

Real d1_

protected

Definition at line 113 of file blackcalculator.hpp.

d2_

Real d2_

protected

Definition at line 113 of file blackcalculator.hpp.

alpha_

Real alpha_

protected

Definition at line 114 of file blackcalculator.hpp.

beta_

Real beta_

protected

Definition at line 114 of file blackcalculator.hpp.

DalphaDd1_

Real DalphaDd1_

protected

Definition at line 114 of file blackcalculator.hpp.

DbetaDd2_

Real DbetaDd2_

protected

Definition at line 114 of file blackcalculator.hpp.

n_d1_

Real n_d1_

protected

Definition at line 115 of file blackcalculator.hpp.

cum_d1_

Real cum_d1_

protected

Definition at line 115 of file blackcalculator.hpp.

n_d2_

Real n_d2_

protected

Definition at line 115 of file blackcalculator.hpp.

cum_d2_

Real cum_d2_

protected

Definition at line 115 of file blackcalculator.hpp.

x_

Real x_

protected

Definition at line 116 of file blackcalculator.hpp.

DxDs_

Real DxDs_

protected

Definition at line 116 of file blackcalculator.hpp.

DxDstrike_

Real DxDstrike_

protected

Definition at line 116 of file blackcalculator.hpp.