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<title>BlackScholesCalculator Class Reference</title>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">BlackScholesCalculator Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::BlackScholesCalculator" --><!-- doxytag: inherits="QuantLib::BlackCalculator" -->
<p>Black-Scholes 1973 calculator class.
<a href="class_quant_lib_1_1_black_scholes_calculator.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/blackscholescalculator.hpp></code></p>
<div class="dynheader">
Inheritance diagram for BlackScholesCalculator:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_black_scholes_calculator__inherit__graph.png" border="0" usemap="#_black_scholes_calculator_inherit__map" alt="Inheritance graph"/></div>
<map name="_black_scholes_calculator_inherit__map" id="_black_scholes_calculator_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_black_calculator.html" title="Black 1976 calculator class." alt="" coords="29,6,141,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_black_scholes_calculator-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a24cca80a4d40ce5a348b9d11b566cde0"></a><!-- doxytag: member="QuantLib::BlackScholesCalculator::BlackScholesCalculator" ref="a24cca80a4d40ce5a348b9d11b566cde0" args="(const boost::shared_ptr< StrikedTypePayoff > &payoff, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount)" -->
 </td><td class="memItemRight" valign="bottom"><b>BlackScholesCalculator</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> > &payoff, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot, <a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> growth, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> stdDev, <a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> discount)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8154e95cbc2d2bd852e2394941136557"></a><!-- doxytag: member="QuantLib::BlackScholesCalculator::BlackScholesCalculator" ref="a8154e95cbc2d2bd852e2394941136557" args="(Option::Type optionType, Real strike, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount)" -->
 </td><td class="memItemRight" valign="bottom"><b>BlackScholesCalculator</b> (Option::Type optionType, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot, <a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> growth, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> stdDev, <a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> discount)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html#a2397bf69d6801e3328c9273143c87ce6">delta</a> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html#a789f1dd91bf031b93eecd46b14154c75">elasticity</a> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html#a2c03665ff1c1e1f9fbbf077d4fb5da13">gamma</a> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html#acfadae38267887f344854fae069b38e7">theta</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html#a77ee03b6feb4bdd44acb8ef149f985d0">thetaPerDay</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad368d415c7aa16fe7d97d156ecb70bff"></a><!-- doxytag: member="QuantLib::BlackScholesCalculator::spot_" ref="ad368d415c7aa16fe7d97d156ecb70bff" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>spot_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae3a05a9c38f10bbcd2a4cbd91c344406"></a><!-- doxytag: member="QuantLib::BlackScholesCalculator::growth_" ref="ae3a05a9c38f10bbcd2a4cbd91c344406" args="" -->
<a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><b>growth_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Black-Scholes 1973 calculator class. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a2397bf69d6801e3328c9273143c87ce6"></a><!-- doxytag: member="QuantLib::BlackScholesCalculator::delta" ref="a2397bf69d6801e3328c9273143c87ce6" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html#a2397bf69d6801e3328c9273143c87ce6">delta</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
</tr>
</table>
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<div class="memdoc">
<p>Sensitivity to change in the underlying spot price. </p>
</div>
</div>
<a class="anchor" id="a789f1dd91bf031b93eecd46b14154c75"></a><!-- doxytag: member="QuantLib::BlackScholesCalculator::elasticity" ref="a789f1dd91bf031b93eecd46b14154c75" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html#a789f1dd91bf031b93eecd46b14154c75">elasticity</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
</tr>
</table>
</div>
<div class="memdoc">
<p>Sensitivity in percent to a percent change in the underlying spot price. </p>
</div>
</div>
<a class="anchor" id="a2c03665ff1c1e1f9fbbf077d4fb5da13"></a><!-- doxytag: member="QuantLib::BlackScholesCalculator::gamma" ref="a2c03665ff1c1e1f9fbbf077d4fb5da13" args="() const " -->
<div class="memitem">
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<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html#a2c03665ff1c1e1f9fbbf077d4fb5da13">gamma</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
</tr>
</table>
</div>
<div class="memdoc">
<p>Second order derivative with respect to change in the underlying spot price. </p>
</div>
</div>
<a class="anchor" id="acfadae38267887f344854fae069b38e7"></a><!-- doxytag: member="QuantLib::BlackScholesCalculator::theta" ref="acfadae38267887f344854fae069b38e7" args="(Time maturity) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html#acfadae38267887f344854fae069b38e7">theta</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>maturity</em></td><td>)</td>
<td> const</td>
</tr>
</table>
</div>
<div class="memdoc">
<p>Sensitivity to time to maturity. </p>
</div>
</div>
<a class="anchor" id="a77ee03b6feb4bdd44acb8ef149f985d0"></a><!-- doxytag: member="QuantLib::BlackScholesCalculator::thetaPerDay" ref="a77ee03b6feb4bdd44acb8ef149f985d0" args="(Time maturity) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html#a77ee03b6feb4bdd44acb8ef149f985d0">thetaPerDay</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>maturity</em></td><td>)</td>
<td> const</td>
</tr>
</table>
</div>
<div class="memdoc">
<p>Sensitivity to time to maturity per day (assuming 365 day in a year). </p>
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