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QuantLib::BlackFormula Class Reference

#include <blackformula.hpp>

List of all members.

Detailed Description

Black-formula calculator.

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.

Definition at line 36 of file blackformula.hpp.

Public Member Functions

Real alpha () const
Real beta () const
 BlackFormula (Real forward, DiscountFactor discount, Real variance, const boost::shared_ptr< StrikedTypePayoff > &payoff)
Real delta (Real spot) const
Real deltaForward () const
Real dividendRho (Time maturity) const
Real elasticity (Real spot) const
 Sensitivity in percent to a percent movement in the underlying.
Real elasticityForward () const
 Sensitivity in percent to a percent movement in the forward price.
Real gamma (Real spot) const
Real gammaForward () const
Real itmAssetProbability () const
Real itmCashProbability () const
Real rho (Time maturity) const
Real strikeSensitivity () const
Real theta (Real spot, Time maturity) const
Real thetaPerDay (Real spot, Time maturity) const
Real value () const
Real vega (Time maturity) const

Private Attributes

Real alpha_
Real beta_
Real cum_d1_
Real cum_d2_
Real D1_
Real D2_
Real DalphaDd1_
Real DbetaDd2_
Real discount_
Real DXDs_
Real DXDstrike_
Real forward_
Real stdDev_
Real strike_
Real variance_
Real X_

The documentation for this class was generated from the following files:

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