- QuantLib
- BlackScholesCalculator
 
Black-Scholes 1973 calculator class. More...
#include <ql/pricingengines/blackscholescalculator.hpp>

| 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 | 
| Protected Attributes | |
| Real | spot_ | 
| DiscountFactor | growth_ | 
Black-Scholes 1973 calculator class.
| Real elasticity | ( | ) | const | 
Sensitivity in percent to a percent change in the underlying spot price.
| Real thetaPerDay | ( | Time | maturity | ) | const | 
Sensitivity to time to maturity per day (assuming 365 day in a year).