BlackFormula Class Reference

#include <ql/PricingEngines/blackformula.hpp>

List of all members.


Detailed Description

Black-formula calculator.

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.


Public Member Functions

 BlackFormula (Real forward, DiscountFactor discount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff)
Real value () const
Real delta (Real spot) const
Real elasticity (Real spot) const
 Sensitivity in percent to a percent movement in the underlying.

Real gamma (Real spot) const
Real deltaForward () const
Real elasticityForward () const
 Sensitivity in percent to a percent movement in the forward price.

Real gammaForward () const
Real theta (Real spot, Time maturity) const
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


Member Function Documentation

Real itmCashProbability  )  const
 

Probability of being in the money in the bond martingale measure. It is a risk-neutral probability, not the real world probability.

Real itmAssetProbability  )  const
 

Probability of being in the money in the asset martingale measure. It is a risk-neutral probability, not the real world probability.


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