Class BlackCalculator

Black 1976 calculator class

bug: 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.

Hierarchy

BlackCalculator
- BlackScholesCalculator

Index

Classes

Calculator

Properties

Methods

Properties

_DalphaDd1

_DalphaDd1: Real

_DbetaDd2

_DbetaDd2: Real

_DxDs

_DxDs: Real

_DxDstrike

_DxDstrike: Real

_alpha

_alpha: Real

_beta

_beta: Real

_cum_d1

_cum_d1: Real

_cum_d2

_cum_d2: Real

_d1

_d1: Real

_d2

_d2: Real

_discount

_discount: Real

_forward

_forward: Real

_n_d1

_n_d1: Real

_n_d2

_n_d2: Real

_stdDev

_stdDev: Real

_strike

_strike: Real

_variance

_variance: Real

_x

_x: Real

Methods

alpha

alpha(): Real

- Defined in ql/pricingengines/blackcalculator.ts:288
Returns Real

beta

beta(): Real

- Defined in ql/pricingengines/blackcalculator.ts:292
Returns Real

delta

delta(spot: Real): Real

- Defined in ql/pricingengines/blackcalculator.ts:71
Sensitivity to change in the underlying spot price.

Parameters
- spot: Real
Returns Real

deltaForward

deltaForward(): Real

- Defined in ql/pricingengines/blackcalculator.ts:58
Sensitivity to change in the underlying forward price.

Returns Real

dividendRho

dividendRho(maturity: Time): Real

- Defined in ql/pricingengines/blackcalculator.ts:239
Sensitivity to dividend/growth rate.

Parameters
- maturity: Time
Returns Real

elasticity

elasticity(spot: Real): Real

- Defined in ql/pricingengines/blackcalculator.ts:112
Sensitivity in percent to a percent change in the underlying spot price.

Parameters
- spot: Real
Returns Real

elasticityForward

elasticityForward(): Real

- Defined in ql/pricingengines/blackcalculator.ts:94
Sensitivity in percent to a percent change in the underlying forward price.

Returns Real

gamma

gamma(spot: Real): Real

- Defined in ql/pricingengines/blackcalculator.ts:154
Second order derivative with respect to change in the underlying spot price.

Parameters
- spot: Real
Returns Real

gammaForward

gammaForward(): Real

- Defined in ql/pricingengines/blackcalculator.ts:130
Second order derivative with respect to change in the underlying forward price.

Returns Real

init1

init1(payoff: StrikedTypePayoff, forward: Real, stdDev: Real, discount?: Real): BlackCalculator

- Defined in ql/pricingengines/blackcalculator.ts:22
Parameters
- payoff: StrikedTypePayoff
- forward: Real
- stdDev: Real
- Default value discount: Real = 1
Returns BlackCalculator

init2

init2(optionType: Type, strike: Real, forward: Real, stdDev: Real, discount?: Real): BlackCalculator

- Defined in ql/pricingengines/blackcalculator.ts:37
Parameters
- optionType: Type
- strike: Real
- forward: Real
- stdDev: Real
- Default value discount: Real = 1
Returns BlackCalculator

Protected initialize

initialize(p: StrikedTypePayoff): void

- Defined in ql/pricingengines/blackcalculator.ts:296
Parameters
- p: StrikedTypePayoff
Returns void

itmAssetProbability

itmAssetProbability(): Real

- Defined in ql/pricingengines/blackcalculator.ts:270
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.

Returns Real

itmCashProbability

itmCashProbability(): Real

- Defined in ql/pricingengines/blackcalculator.ts:261
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.

Returns Real

rho

rho(maturity: Time): Real

- Defined in ql/pricingengines/blackcalculator.ts:222
Sensitivity to discounting rate.

Parameters
- maturity: Time
Returns Real

strikeSensitivity

strikeSensitivity(): Real

- Defined in ql/pricingengines/blackcalculator.ts:275
Sensitivity to strike.

Returns Real

theta

theta(spot: Real, maturity: Time): Real

- Defined in ql/pricingengines/blackcalculator.ts:181
Sensitivity to time to maturity.

Parameters
- spot: Real
- maturity: Time
Returns Real

thetaPerDay

thetaPerDay(spot: Real, maturity: Time): Real

- Defined in ql/pricingengines/blackcalculator.ts:199
Sensitivity to time to maturity per day, assuming 365 day per year.

Parameters
- spot: Real
- maturity: Time
Returns Real

value

value(): Real

- Defined in ql/pricingengines/blackcalculator.ts:51
Returns Real

vega

vega(maturity: Time): Real

- Defined in ql/pricingengines/blackcalculator.ts:204
Sensitivity to volatility.

Parameters
- maturity: Time
Returns Real