org.jquantlib.pricingengines

Class BlackFormula

java.lang.Object

org.jquantlib.pricingengines.BlackFormula

public class BlackFormula
extends java.lang.Object

Black 1976 formula

Constructor Summary

Constructors

Constructor and Description
BlackFormula()

Method Summary

Modifier and Type	Method and Description
static double	bachelierBlackFormula(Option.Type optionType, double strike, double forward, double stddev) Black style formula when forward is normal rather than log-normal.
static double	bachelierBlackFormula(Option.Type optionType, double strike, double forward, double stddev, double discount) Black style formula when forward is normal rather than log-normal.
static double	bachelierBlackFormula(PlainVanillaPayoff payoff, double forward, double stddev) Black style formula when forward is normal rather than log-normal.
static double	bachelierBlackFormula(PlainVanillaPayoff payoff, double forward, double stddev, double discount) Black style formula when forward is normal rather than log-normal.
static double	blackFormula(Option.Type optionType, double strike, double forward, double stddev) Black 1976 formula
static double	blackFormula(Option.Type optionType, double strike, double forward, double stddev, double discount) Black 1976 formula
static double	blackFormula(Option.Type optionType, double strike, double forward, double stddev, double discount, double displacement) Black 1976 formula
static double	blackFormula(PlainVanillaPayoff payoff, double strike, double forward, double stddev) Black 1976 formula
static double	blackFormula(PlainVanillaPayoff payoff, double strike, double forward, double stddev, double discount) Black 1976 formula
static double	blackFormula(PlainVanillaPayoff payoff, double strike, double forward, double stddev, double discount, double displacement) Black 1976 formula
static double	blackFormulaCashItmProbability(Option.Type optionType, double strike, double forward, double stddev) Black 1976 probability of being in the money (in the bond martingale measure), i.e.
static double	blackFormulaCashItmProbability(Option.Type optionType, double strike, double forward, double stddev, double displacement) Black 1976 probability of being in the money (in the bond martingale measure), i.e.
static double	blackFormulaCashItmProbability(PlainVanillaPayoff payoff, double strike, double forward, double stddev, double displacement) Black 1976 probability of being in the money (in the bond martingale measure), i.e.
static double	blackFormulaImpliedStdDev(Option.Type optionType, double strike, double forward, double blackPrice) Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDev(Option.Type optionType, double strike, double forward, double blackPrice, double discount) Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDev(Option.Type optionType, double strike, double forward, double blackPrice, double discount, double guess) Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDev(Option.Type optionType, double strike, double forward, double blackPrice, double discount, double guess, double accuracy) Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDev(Option.Type optionType, double strike, double forward, double blackPrice, double discount, double guess, double accuracy, double displacement) Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDev(PlainVanillaPayoff payoff, double strike, double forward, double blackPrice) Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDev(PlainVanillaPayoff payoff, double strike, double forward, double blackPrice, double discount) Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDev(PlainVanillaPayoff payoff, double strike, double forward, double blackPrice, double discount, double guess) Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDev(PlainVanillaPayoff payoff, double strike, double forward, double blackPrice, double discount, double guess, double accuracy) Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDev(PlainVanillaPayoff payoff, double strike, double forward, double blackPrice, double discount, double guess, double accuracy, double displacement) Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDevApproximation(Option.Type optionType, double strike, double forward, double blackPrice) Approximated Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDevApproximation(Option.Type optionType, double strike, double forward, double blackPrice, double discount) Approximated Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDevApproximation(Option.Type optionType, double strike, double forward, double blackPrice, double discount, double displacement) Approximated Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDevApproximation(PlainVanillaPayoff payoff, double strike, double forward, double blackPrice) Approximated Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDevApproximation(PlainVanillaPayoff payoff, double strike, double forward, double blackPrice, double discount) Approximated Black 1976 implied standard deviation, i.e.
static double	blackFormulaImpliedStdDevApproximation(PlainVanillaPayoff payoff, double strike, double forward, double blackPrice, double discount, double displacement) Approximated Black 1976 implied standard deviation, i.e.
static double	blackFormulaStdDevDerivative(double strike, double forward, double stddev) Black 1976 formula for standard deviation derivative
static double	blackFormulaStdDevDerivative(double strike, double forward, double stddev, double discount) Black 1976 formula for standard deviation derivative
static double	blackFormulaStdDevDerivative(double strike, double forward, double stddev, double discount, double displacement) Black 1976 formula for standard deviation derivative
static double	blackFormulastddevDerivative(PlainVanillaPayoff payoff, double forward, double stddev) Black 1976 formula for standard deviation derivative
static double	blackFormulastddevDerivative(PlainVanillaPayoff payoff, double forward, double stddev, double discount) Black 1976 formula for standard deviation derivative
static double	blackFormulaStdDevDerivative(PlainVanillaPayoff payoff, double forward, double stddev, double discount, double displacement) Black 1976 formula for standard deviation derivative

Methods inherited from class java.lang.Object

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

Constructor Detail

BlackFormula

public BlackFormula()

Method Detail

blackFormula

public static double blackFormula(Option.Type optionType,
                                  double strike,
                                  double forward,
                                  double stddev)

Black 1976 formula

blackFormula

public static double blackFormula(Option.Type optionType,
                                  double strike,
                                  double forward,
                                  double stddev,
                                  double discount)

Black 1976 formula

blackFormula

public static double blackFormula(Option.Type optionType,
                                  double strike,
                                  double forward,
                                  double stddev,
                                  double discount,
                                  double displacement)

Black 1976 formula

blackFormula

public static double blackFormula(PlainVanillaPayoff payoff,
                                  double strike,
                                  double forward,
                                  double stddev)

Black 1976 formula

blackFormula

public static double blackFormula(PlainVanillaPayoff payoff,
                                  double strike,
                                  double forward,
                                  double stddev,
                                  double discount)

Black 1976 formula

blackFormula

public static double blackFormula(PlainVanillaPayoff payoff,
                                  double strike,
                                  double forward,
                                  double stddev,
                                  double discount,
                                  double displacement)

Black 1976 formula

blackFormulaImpliedStdDevApproximation

public static double blackFormulaImpliedStdDevApproximation(Option.Type optionType,
                                                            double strike,
                                                            double forward,
                                                            double blackPrice)

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).

It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)

blackFormulaImpliedStdDevApproximation

public static double blackFormulaImpliedStdDevApproximation(Option.Type optionType,
                                                            double strike,
                                                            double forward,
                                                            double blackPrice,
                                                            double discount)

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).

It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)

blackFormulaImpliedStdDevApproximation

public static double blackFormulaImpliedStdDevApproximation(Option.Type optionType,
                                                            double strike,
                                                            double forward,
                                                            double blackPrice,
                                                            double discount,
                                                            double displacement)

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).

It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)

blackFormulaImpliedStdDevApproximation

public static double blackFormulaImpliedStdDevApproximation(PlainVanillaPayoff payoff,
                                                            double strike,
                                                            double forward,
                                                            double blackPrice)

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).

It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)

blackFormulaImpliedStdDevApproximation

public static double blackFormulaImpliedStdDevApproximation(PlainVanillaPayoff payoff,
                                                            double strike,
                                                            double forward,
                                                            double blackPrice,
                                                            double discount)

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).

It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)

blackFormulaImpliedStdDevApproximation

public static double blackFormulaImpliedStdDevApproximation(PlainVanillaPayoff payoff,
                                                            double strike,
                                                            double forward,
                                                            double blackPrice,
                                                            double discount,
                                                            double displacement)

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).

It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)

blackFormulaImpliedStdDev

public static double blackFormulaImpliedStdDev(Option.Type optionType,
                                               double strike,
                                               double forward,
                                               double blackPrice)

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormulaImpliedStdDev

public static double blackFormulaImpliedStdDev(Option.Type optionType,
                                               double strike,
                                               double forward,
                                               double blackPrice,
                                               double discount)

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormulaImpliedStdDev

public static double blackFormulaImpliedStdDev(Option.Type optionType,
                                               double strike,
                                               double forward,
                                               double blackPrice,
                                               double discount,
                                               double guess)

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormulaImpliedStdDev

public static double blackFormulaImpliedStdDev(Option.Type optionType,
                                               double strike,
                                               double forward,
                                               double blackPrice,
                                               double discount,
                                               double guess,
                                               double accuracy)

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormulaImpliedStdDev

public static double blackFormulaImpliedStdDev(Option.Type optionType,
                                               double strike,
                                               double forward,
                                               double blackPrice,
                                               double discount,
                                               double guess,
                                               double accuracy,
                                               double displacement)

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormulaImpliedStdDev

public static double blackFormulaImpliedStdDev(PlainVanillaPayoff payoff,
                                               double strike,
                                               double forward,
                                               double blackPrice)

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormulaImpliedStdDev

public static double blackFormulaImpliedStdDev(PlainVanillaPayoff payoff,
                                               double strike,
                                               double forward,
                                               double blackPrice,
                                               double discount)

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormulaImpliedStdDev

public static double blackFormulaImpliedStdDev(PlainVanillaPayoff payoff,
                                               double strike,
                                               double forward,
                                               double blackPrice,
                                               double discount,
                                               double guess)

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormulaImpliedStdDev

public static double blackFormulaImpliedStdDev(PlainVanillaPayoff payoff,
                                               double strike,
                                               double forward,
                                               double blackPrice,
                                               double discount,
                                               double guess,
                                               double accuracy)

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormulaImpliedStdDev

public static double blackFormulaImpliedStdDev(PlainVanillaPayoff payoff,
                                               double strike,
                                               double forward,
                                               double blackPrice,
                                               double discount,
                                               double guess,
                                               double accuracy,
                                               double displacement)

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

blackFormulaCashItmProbability

public static double blackFormulaCashItmProbability(Option.Type optionType,
                                                    double strike,
                                                    double forward,
                                                    double stddev)

Black 1976 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.

blackFormulaCashItmProbability

public static double blackFormulaCashItmProbability(Option.Type optionType,
                                                    double strike,
                                                    double forward,
                                                    double stddev,
                                                    double displacement)

Black 1976 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.

blackFormulaCashItmProbability

public static double blackFormulaCashItmProbability(PlainVanillaPayoff payoff,
                                                    double strike,
                                                    double forward,
                                                    double stddev,
                                                    double displacement)

Black 1976 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.

blackFormulaStdDevDerivative

public static double blackFormulaStdDevDerivative(double strike,
                                                  double forward,
                                                  double stddev)

Black 1976 formula for standard deviation derivative

blackFormulaStdDevDerivative

public static double blackFormulaStdDevDerivative(double strike,
                                                  double forward,
                                                  double stddev,
                                                  double discount)

Black 1976 formula for standard deviation derivative

blackFormulaStdDevDerivative

public static double blackFormulaStdDevDerivative(double strike,
                                                  double forward,
                                                  double stddev,
                                                  double discount,
                                                  double displacement)

Black 1976 formula for standard deviation derivative

blackFormulastddevDerivative

public static double blackFormulastddevDerivative(PlainVanillaPayoff payoff,
                                                  double forward,
                                                  double stddev)

Black 1976 formula for standard deviation derivative

blackFormulastddevDerivative

public static double blackFormulastddevDerivative(PlainVanillaPayoff payoff,
                                                  double forward,
                                                  double stddev,
                                                  double discount)

Black 1976 formula for standard deviation derivative

blackFormulaStdDevDerivative

public static double blackFormulaStdDevDerivative(PlainVanillaPayoff payoff,
                                                  double forward,
                                                  double stddev,
                                                  double discount,
                                                  double displacement)

Black 1976 formula for standard deviation derivative

bachelierBlackFormula

public static double bachelierBlackFormula(PlainVanillaPayoff payoff,
                                           double forward,
                                           double stddev,
                                           double discount)

Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.

bachelierBlackFormula

public static double bachelierBlackFormula(Option.Type optionType,
                                           double strike,
                                           double forward,
                                           double stddev,
                                           double discount)

Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.

bachelierBlackFormula

public static double bachelierBlackFormula(Option.Type optionType,
                                           double strike,
                                           double forward,
                                           double stddev)

Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.

bachelierBlackFormula

public static double bachelierBlackFormula(PlainVanillaPayoff payoff,
                                           double forward,
                                           double stddev)

Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.