QuantLib_BlackScholesCalculator

Langue: en

Autres versions - même langue

Version: 374020 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::BlackScholesCalculator -

Black-Scholes 1973 calculator class.

SYNOPSIS


#include <ql/pricingengines/blackscholescalculator.hpp>

Inherits QuantLib::BlackCalculator.

Public Member Functions


BlackScholesCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, 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_

Detailed Description

Black-Scholes 1973 calculator class.

Member Function Documentation

Real delta () constSensitivity to change in the underlying spot price.

Real elasticity () constSensitivity in percent to a percent change in the underlying spot price.

Real gamma () constSecond order derivative with respect to change in the underlying spot price.

Real theta (Time maturity) constSensitivity to time to maturity.

Real thetaPerDay (Time maturity) constSensitivity to time to maturity per day (assuming 365 day in a year).

Author

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