QuantLib: a free/opensource library for quantitative finance
Fully annotated sources  version 1.32

Black 1976 calculator class. More...
#include <ql/pricingengines/blackcalculator.hpp>
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_ 
Black 1976 calculator class.
Definition at line 37 of file blackcalculator.hpp.
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 

) 
Definition at line 54 of file blackcalculator.cpp.

virtualdefault 
Real value  (  )  const 
Definition at line 197 of file blackcalculator.cpp.
Real deltaForward  (  )  const 
Sensitivity to change in the underlying forward price.
Definition at line 218 of file blackcalculator.cpp.
Sensitivity to change in the underlying spot price.
Reimplemented in BlackScholesCalculator.
Definition at line 202 of file blackcalculator.cpp.
Real elasticityForward  (  )  const 
Sensitivity in percent to a percent change in the underlying forward price.
Definition at line 242 of file blackcalculator.cpp.
Sensitivity in percent to a percent change in the underlying spot price.
Reimplemented in BlackScholesCalculator.
Definition at line 229 of file blackcalculator.cpp.
Real gammaForward  (  )  const 
Second order derivative with respect to change in the underlying forward price.
Definition at line 275 of file blackcalculator.cpp.
Second order derivative with respect to change in the underlying spot price.
Reimplemented in BlackScholesCalculator.
Definition at line 255 of file blackcalculator.cpp.
Sensitivity to time to maturity.
Reimplemented in BlackScholesCalculator.
Definition at line 290 of file blackcalculator.cpp.
Sensitivity to time to maturity per day, assuming 365 day per year.
Reimplemented in BlackScholesCalculator.
Definition at line 120 of file blackcalculator.hpp.
Sensitivity to volatility.
Definition at line 301 of file blackcalculator.cpp.
Sensitivity to discounting rate.
Definition at line 316 of file blackcalculator.cpp.
Sensitivity to dividend/growth rate.
Definition at line 328 of file blackcalculator.cpp.
Real itmCashProbability  (  )  const 
Probability of being in the money in the bond martingale measure, i.e. N(d2). It is a riskneutral probability, not the real world one.
Definition at line 125 of file blackcalculator.hpp.
Real itmAssetProbability  (  )  const 
Probability of being in the money in the asset martingale measure, i.e. N(d1). It is a riskneutral probability, not the real world one.
Definition at line 129 of file blackcalculator.hpp.
Real strikeSensitivity  (  )  const 
Sensitivity to strike.
Definition at line 341 of file blackcalculator.cpp.
Real strikeGamma  (  )  const 
gamma w.r.t. strike.
Definition at line 354 of file blackcalculator.cpp.
Real alpha  (  )  const 
Definition at line 133 of file blackcalculator.hpp.
Real beta  (  )  const 

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