- QuantLib
- BlackCalculator
 
Black 1976 calculator class. More...
#include <ql/pricingengines/blackcalculator.hpp>

| Public Member Functions | |
| 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 Member Functions | |
| void | initialize (const boost::shared_ptr< StrikedTypePayoff > &p) | 
| 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 | 
Black 1976 calculator class.
| Real deltaForward | ( | ) | const | 
Sensitivity to change in the underlying forward 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.
Second order derivative with respect to change in the underlying spot price.
| Real thetaPerDay | ( | Real | spot, | 
| Time | maturity | ||
| ) | const  [virtual] | 
Sensitivity to time to maturity per day, assuming 365 day per year.
| 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.