BlackFormula Class Reference
#include <ql/PricingEngines/blackformula.hpp>
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.
- Examples:
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 |
Friends | |
| class | Calculator |
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.