BlackCalculator Class Reference
#include <ql/pricingengines/blackcalculator.hpp>
Inheritance diagram for BlackCalculator:

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:
Public Member Functions | |
| BlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, 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 | 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_ |
Friends | |
| class | Calculator |
Member Function Documentation
| Real deltaForward | ( | ) | const |
Sensitivity to change in the underlying forward price.
| virtual Real delta | ( | Real | spot | ) | const [virtual] |
Sensitivity to change in the underlying spot price.
| Real elasticityForward | ( | ) | const |
Sensitivity in percent to a percent change in the underlying forward price.
| virtual Real elasticity | ( | Real | spot | ) | const [virtual] |
Sensitivity in percent to a percent change in the underlying spot price.
| Real gammaForward | ( | ) | const |
Second order derivative with respect to change in the underlying forward price.
| virtual Real gamma | ( | Real | spot | ) | const [virtual] |
Second order derivative with respect to change in the underlying spot price.
| virtual Real theta | ( | Real | spot, | |
| Time | maturity | |||
| ) | const [virtual] |
Sensitivity to time to maturity.
| virtual Real thetaPerDay | ( | Real | spot, | |
| Time | maturity | |||
| ) | const [virtual] |
Sensitivity to time to maturity per day, assuming 365 day per year.
| Real vega | ( | Time | maturity | ) | const |
Sensitivity to volatility.
| Real rho | ( | Time | maturity | ) | const |
Sensitivity to discounting rate.
| Real dividendRho | ( | Time | maturity | ) | const |
Sensitivity to dividend/growth rate.
| 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.
| 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.
| Real strikeSensitivity | ( | ) | const |
Sensitivity to strike.