org.jquantlib.pricingengines

Class BlackCalculator

java.lang.Object

org.jquantlib.pricingengines.BlackCalculator

public class BlackCalculator
extends java.lang.Object

Black 1976 calculator class

Constructor Summary

Constructors

Constructor and Description
BlackCalculator(StrikedTypePayoff payoff, double forward, double stdDev)
BlackCalculator(StrikedTypePayoff payoff, double forward, double stdDev, double discount)

Method Summary

Modifier and Type	Method and Description
double	alpha()
double	beta()
double	delta(double spot) Sensitivity to change in the underlying spot price.
double	deltaForward() Sensitivity to change in the underlying forward price.
double	dividendRho(double maturity) Sensitivity to dividend/growth rate.
double	elasticity(double spot) Sensitivity in percent to a percent change in the underlying spot price.
double	elasticityForward() Sensitivity in percent to a percent change in the underlying forward price.
double	gamma(double spot) Second order derivative with respect to change in the underlying spot price.
double	gammaForward() Second order derivative with respect to change in the underlying forward price.
double	itmAssetProbability() Probability of being in the money in the asset martingale measure, i.e.
double	itmCashProbability() Probability of being in the money in the bond martingale measure, i.e.
double	rho(double maturity) Sensitivity to discounting rate.
double	strikeSensitivity() Sensitivity to strike.
double	theta(double spot, double maturity) Sensitivity to time to maturity.
double	thetaPerDay(double spot, double maturity) Sensitivity to time to maturity per day, assuming 365 day per year.
double	value()
double	vega(double maturity) Sensitivity to volatility.

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BlackCalculator

public BlackCalculator(StrikedTypePayoff payoff,
                       double forward,
                       double stdDev)

BlackCalculator

public BlackCalculator(StrikedTypePayoff payoff,
                       double forward,
                       double stdDev,
                       double discount)

Method Detail

value

public double value()

delta

public double delta(double spot)

Sensitivity to change in the underlying spot price.

deltaForward

public double deltaForward()

Sensitivity to change in the underlying forward price.

elasticity

public double elasticity(double spot)

Sensitivity in percent to a percent change in the underlying spot price.

elasticityForward

public double elasticityForward()

Sensitivity in percent to a percent change in the underlying forward price.

gamma

public double gamma(double spot)

Second order derivative with respect to change in the underlying spot price.

gammaForward

public double gammaForward()

Second order derivative with respect to change in the underlying forward price.

theta

public double theta(double spot,
                    double maturity)

Sensitivity to time to maturity.

thetaPerDay

public double thetaPerDay(double spot,
                          double maturity)

Sensitivity to time to maturity per day, assuming 365 day per year.

vega

public double vega(double maturity)

Sensitivity to volatility.

rho

public double rho(double maturity)

Sensitivity to discounting rate.

dividendRho

public double dividendRho(double maturity)

Sensitivity to dividend/growth rate.

itmCashProbability

public double itmCashProbability()

Probability of being in the money in the bond martingale measure, i.e. N(d2).

It is a risk-neutral probability, not the real world one.

itmAssetProbability

public double itmAssetProbability()

Probability of being in the money in the asset martingale measure, i.e. N(d1).

It is a risk-neutral probability, not the real world one.

strikeSensitivity

public double strikeSensitivity()

Sensitivity to strike.

alpha

public double alpha()

beta

public double beta()