Black-Scholes 1973 calculator class. More...
#include <ql/pricingengines/blackscholescalculator.hpp>
 Inheritance diagram for BlackScholesCalculator:
 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 | 
| virtual Real | delta (Real spot) const | 
| virtual Real | elasticity (Real spot) const | 
| virtual Real | gamma (Real spot) const | 
| virtual Real | theta (Real spot, Time maturity) const | 
| virtual Real | thetaPerDay (Real spot, 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) | 
Black-Scholes 1973 calculator class.
| 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.
Sensitivity to time to maturity per day (assuming 365 day in a year).
| virtual Real delta | 
Sensitivity to change in the underlying spot price.
| virtual Real elasticity | 
Sensitivity in percent to a percent change in the underlying spot price.
| virtual Real gamma | 
Second order derivative with respect to change in the underlying spot price.
| virtual Real theta | 
Sensitivity to time to maturity.
| Real thetaPerDay | 
Sensitivity to time to maturity per day, assuming 365 day per year.