25#ifndef quantlib_blackcalculator_hpp
26#define quantlib_blackcalculator_hpp
28#include <ql/instruments/payoffs.hpp>
111 void initialize(
const ext::shared_ptr<StrikedTypePayoff>& p);
121 Time maturity)
const {
122 return theta(spot, maturity)/365.0;
Black 1976 calculator class.
Real dividendRho(Time maturity) const
virtual Real delta(Real spot) const
Real vega(Time maturity) const
void initialize(const ext::shared_ptr< StrikedTypePayoff > &p)
Real itmCashProbability() const
Real strikeSensitivity() const
virtual Real gamma(Real spot) const
Real gammaForward() const
Real elasticityForward() const
virtual ~BlackCalculator()=default
Real itmAssetProbability() const
virtual Real elasticity(Real spot) const
virtual Real thetaPerDay(Real spot, Time maturity) const
Real deltaForward() const
virtual Real theta(Real spot, Time maturity) const
Real rho(Time maturity) const
Real Time
continuous quantity with 1-year units