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QuantLib_BlackScholesCalculator
Langue: en
Version: 374020 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- 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
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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