QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | Protected Attributes | List of all members
BlackScholesCalculator Class Reference

Black-Scholes 1973 calculator class. More...

#include <ql/pricingengines/blackscholescalculator.hpp>

+ Inheritance diagram for BlackScholesCalculator:

Public Member Functions

 BlackScholesCalculator (const boost::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)
 
Real delta () const
 
Real elasticity () const
 
Real gamma () const
 
Real theta (Time maturity) const
 
Real thetaPerDay (Time maturity) const
 
- Public Member Functions inherited from BlackCalculator
 BlackCalculator (const boost::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)
 
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 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 boost::shared_ptr< StrikedTypePayoff > &p)
 

Detailed Description

Black-Scholes 1973 calculator class.

Member Function Documentation

Real delta ( ) const

Sensitivity to change in the underlying spot price.

Real elasticity ( ) const

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

Real gamma ( ) const

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

Real theta ( Time  maturity) const

Sensitivity to time to maturity.

Real thetaPerDay ( Time  maturity) const

Sensitivity to time to maturity per day (assuming 365 day in a year).