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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_black_scholes_calculator.html">BlackScholesCalculator</a></li> </ul>
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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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<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 id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for BlackScholesCalculator:</div>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:adb56a6b3dcea2b9804625fc8556cfed7"><td class="memItemLeft" align="right" valign="top"><a id="adb56a6b3dcea2b9804625fc8556cfed7"></a>
 </td><td class="memItemRight" valign="bottom"><b>BlackScholesCalculator</b> (const ext::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 class="separator:adb56a6b3dcea2b9804625fc8556cfed7"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8154e95cbc2d2bd852e2394941136557"><td class="memItemLeft" align="right" valign="top"><a id="a8154e95cbc2d2bd852e2394941136557"></a>
 </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 class="separator:a8154e95cbc2d2bd852e2394941136557"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a397f8534c2b3d08642e5040c40426ab7"><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#a397f8534c2b3d08642e5040c40426ab7">delta</a> () const</td></tr>
<tr class="separator:a397f8534c2b3d08642e5040c40426ab7"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3279751aa21dd6b1bbb01f26d47dc115"><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#a3279751aa21dd6b1bbb01f26d47dc115">elasticity</a> () const</td></tr>
<tr class="separator:a3279751aa21dd6b1bbb01f26d47dc115"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aaed679bde0c499002fce41342891b61d"><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#aaed679bde0c499002fce41342891b61d">gamma</a> () const</td></tr>
<tr class="separator:aaed679bde0c499002fce41342891b61d"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9c2ec50ea41e7af302de7ddd5a8446cf"><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#a9c2ec50ea41e7af302de7ddd5a8446cf">theta</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const</td></tr>
<tr class="separator:a9c2ec50ea41e7af302de7ddd5a8446cf"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa1f7cc87f80ba12bea93553ebe143183"><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#aa1f7cc87f80ba12bea93553ebe143183">thetaPerDay</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const</td></tr>
<tr class="separator:aa1f7cc87f80ba12bea93553ebe143183"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a35088290086ed80ca81fb5a9b2eb0f38"><td class="memItemLeft" align="right" valign="top">virtual <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#a35088290086ed80ca81fb5a9b2eb0f38">delta</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot) const</td></tr>
<tr class="separator:a35088290086ed80ca81fb5a9b2eb0f38"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac272ac67f7cf44ad5fabb296c3ec8765"><td class="memItemLeft" align="right" valign="top">virtual <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#ac272ac67f7cf44ad5fabb296c3ec8765">elasticity</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot) const</td></tr>
<tr class="separator:ac272ac67f7cf44ad5fabb296c3ec8765"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3c6ebfe899117a8e20368fa39104bf07"><td class="memItemLeft" align="right" valign="top">virtual <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#a3c6ebfe899117a8e20368fa39104bf07">gamma</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot) const</td></tr>
<tr class="separator:a3c6ebfe899117a8e20368fa39104bf07"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad1574c2bb42f8e1d402ce1ef2b91ba3b"><td class="memItemLeft" align="right" valign="top">virtual <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#ad1574c2bb42f8e1d402ce1ef2b91ba3b">theta</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const</td></tr>
<tr class="separator:ad1574c2bb42f8e1d402ce1ef2b91ba3b"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abba1bf8797f099026e699408878caedc"><td class="memItemLeft" align="right" valign="top">virtual <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#abba1bf8797f099026e699408878caedc">thetaPerDay</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const</td></tr>
<tr class="separator:abba1bf8797f099026e699408878caedc"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_black_calculator"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_black_calculator')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_black_calculator.html">BlackCalculator</a></td></tr>
<tr class="memitem:a314a748c9c97637b4e7552c7fffe08e7 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a314a748c9c97637b4e7552c7fffe08e7"></a>
 </td><td class="memItemRight" valign="bottom"><b>BlackCalculator</b> (const ext::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> forward, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> stdDev, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> discount=1.0)</td></tr>
<tr class="separator:a314a748c9c97637b4e7552c7fffe08e7 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2920114426078b8deba090acbfcc90c3 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a2920114426078b8deba090acbfcc90c3"></a>
 </td><td class="memItemRight" valign="bottom"><b>BlackCalculator</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> forward, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> stdDev, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> discount=1.0)</td></tr>
<tr class="separator:a2920114426078b8deba090acbfcc90c3 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a72887400b9a4d1ba185b887b84876cdc inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a72887400b9a4d1ba185b887b84876cdc"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>value</b> () const</td></tr>
<tr class="separator:a72887400b9a4d1ba185b887b84876cdc inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad1aeee7c18b44d616b3c8169ebb9611a inherit pub_methods_class_quant_lib_1_1_black_calculator"><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_calculator.html#ad1aeee7c18b44d616b3c8169ebb9611a">deltaForward</a> () const</td></tr>
<tr class="separator:ad1aeee7c18b44d616b3c8169ebb9611a inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a35088290086ed80ca81fb5a9b2eb0f38 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top">virtual <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_calculator.html#a35088290086ed80ca81fb5a9b2eb0f38">delta</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot) const</td></tr>
<tr class="separator:a35088290086ed80ca81fb5a9b2eb0f38 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7c544e51336c33f06b0a9158a3d2705e inherit pub_methods_class_quant_lib_1_1_black_calculator"><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_calculator.html#a7c544e51336c33f06b0a9158a3d2705e">elasticityForward</a> () const</td></tr>
<tr class="separator:a7c544e51336c33f06b0a9158a3d2705e inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac272ac67f7cf44ad5fabb296c3ec8765 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top">virtual <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_calculator.html#ac272ac67f7cf44ad5fabb296c3ec8765">elasticity</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot) const</td></tr>
<tr class="separator:ac272ac67f7cf44ad5fabb296c3ec8765 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6949781d9c6ffe5419b5e463622430c6 inherit pub_methods_class_quant_lib_1_1_black_calculator"><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_calculator.html#a6949781d9c6ffe5419b5e463622430c6">gammaForward</a> () const</td></tr>
<tr class="separator:a6949781d9c6ffe5419b5e463622430c6 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3c6ebfe899117a8e20368fa39104bf07 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top">virtual <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_calculator.html#a3c6ebfe899117a8e20368fa39104bf07">gamma</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot) const</td></tr>
<tr class="separator:a3c6ebfe899117a8e20368fa39104bf07 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad1574c2bb42f8e1d402ce1ef2b91ba3b inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top">virtual <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_calculator.html#ad1574c2bb42f8e1d402ce1ef2b91ba3b">theta</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const</td></tr>
<tr class="separator:ad1574c2bb42f8e1d402ce1ef2b91ba3b inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abba1bf8797f099026e699408878caedc inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top">virtual <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_calculator.html#abba1bf8797f099026e699408878caedc">thetaPerDay</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spot, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const</td></tr>
<tr class="separator:abba1bf8797f099026e699408878caedc inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a27d29dc37488c0e1005fd3df6c1f232e inherit pub_methods_class_quant_lib_1_1_black_calculator"><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_calculator.html#a27d29dc37488c0e1005fd3df6c1f232e">vega</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const</td></tr>
<tr class="separator:a27d29dc37488c0e1005fd3df6c1f232e inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:afd9ef1f4b9fbb897c5e58b4a02cb1e7e inherit pub_methods_class_quant_lib_1_1_black_calculator"><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_calculator.html#afd9ef1f4b9fbb897c5e58b4a02cb1e7e">rho</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const</td></tr>
<tr class="separator:afd9ef1f4b9fbb897c5e58b4a02cb1e7e inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1c339da001d997d79326dbc986f1477b inherit pub_methods_class_quant_lib_1_1_black_calculator"><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_calculator.html#a1c339da001d997d79326dbc986f1477b">dividendRho</a> (<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> maturity) const</td></tr>
<tr class="separator:a1c339da001d997d79326dbc986f1477b inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a52f0d80c352ce23b6009d89a828b7824 inherit pub_methods_class_quant_lib_1_1_black_calculator"><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_calculator.html#a52f0d80c352ce23b6009d89a828b7824">itmCashProbability</a> () const</td></tr>
<tr class="separator:a52f0d80c352ce23b6009d89a828b7824 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa0b200c24392e9cef0c2c467a925f290 inherit pub_methods_class_quant_lib_1_1_black_calculator"><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_calculator.html#aa0b200c24392e9cef0c2c467a925f290">itmAssetProbability</a> () const</td></tr>
<tr class="separator:aa0b200c24392e9cef0c2c467a925f290 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a55b21c7d22a7fdce4611b3b95effc896 inherit pub_methods_class_quant_lib_1_1_black_calculator"><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_calculator.html#a55b21c7d22a7fdce4611b3b95effc896">strikeSensitivity</a> () const</td></tr>
<tr class="separator:a55b21c7d22a7fdce4611b3b95effc896 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad7530134b03a24df85bd5ffe06507e87 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="ad7530134b03a24df85bd5ffe06507e87"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>alpha</b> () const</td></tr>
<tr class="separator:ad7530134b03a24df85bd5ffe06507e87 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad50765ca99bba93b755d16557de7ad55 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="ad50765ca99bba93b755d16557de7ad55"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>beta</b> () const</td></tr>
<tr class="separator:ad50765ca99bba93b755d16557de7ad55 inherit pub_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr class="memitem:ad368d415c7aa16fe7d97d156ecb70bff"><td class="memItemLeft" align="right" valign="top"><a id="ad368d415c7aa16fe7d97d156ecb70bff"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>spot_</b></td></tr>
<tr class="separator:ad368d415c7aa16fe7d97d156ecb70bff"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae3a05a9c38f10bbcd2a4cbd91c344406"><td class="memItemLeft" align="right" valign="top"><a id="ae3a05a9c38f10bbcd2a4cbd91c344406"></a>
<a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><b>growth_</b></td></tr>
<tr class="separator:ae3a05a9c38f10bbcd2a4cbd91c344406"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_black_calculator"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_black_calculator')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_black_calculator.html">BlackCalculator</a></td></tr>
<tr class="memitem:af4df09cd4cbe06f6558dc5777c23e106 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="af4df09cd4cbe06f6558dc5777c23e106"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>strike_</b></td></tr>
<tr class="separator:af4df09cd4cbe06f6558dc5777c23e106 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6080532cd8596049370f5002b384806a inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a6080532cd8596049370f5002b384806a"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>forward_</b></td></tr>
<tr class="separator:a6080532cd8596049370f5002b384806a inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a558676275dc818fb808f33a998dfa3e1 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a558676275dc818fb808f33a998dfa3e1"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>stdDev_</b></td></tr>
<tr class="separator:a558676275dc818fb808f33a998dfa3e1 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aea69a040116fac17d85f412ad3bade51 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="aea69a040116fac17d85f412ad3bade51"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>discount_</b></td></tr>
<tr class="separator:aea69a040116fac17d85f412ad3bade51 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a24129c87c49238b3cfb21fe9478f0a07 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a24129c87c49238b3cfb21fe9478f0a07"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>variance_</b></td></tr>
<tr class="separator:a24129c87c49238b3cfb21fe9478f0a07 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3d43cc7ff786a6730d87914d85b5f03f inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a3d43cc7ff786a6730d87914d85b5f03f"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>d1_</b></td></tr>
<tr class="separator:a3d43cc7ff786a6730d87914d85b5f03f inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a18e9bf2fdae9b34227ff9e9d82b368fb inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a18e9bf2fdae9b34227ff9e9d82b368fb"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>d2_</b></td></tr>
<tr class="separator:a18e9bf2fdae9b34227ff9e9d82b368fb inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a96c0f11fbeced8f51ee45a495d97e621 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a96c0f11fbeced8f51ee45a495d97e621"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>alpha_</b></td></tr>
<tr class="separator:a96c0f11fbeced8f51ee45a495d97e621 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6483291df5e2a5a0d80b22cf68a96750 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a6483291df5e2a5a0d80b22cf68a96750"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>beta_</b></td></tr>
<tr class="separator:a6483291df5e2a5a0d80b22cf68a96750 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a09bf58c29a716d125bd5a0ef81422697 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a09bf58c29a716d125bd5a0ef81422697"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>DalphaDd1_</b></td></tr>
<tr class="separator:a09bf58c29a716d125bd5a0ef81422697 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af1e110eae91fab98ae1a7af92a2b2ff2 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="af1e110eae91fab98ae1a7af92a2b2ff2"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>DbetaDd2_</b></td></tr>
<tr class="separator:af1e110eae91fab98ae1a7af92a2b2ff2 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a414026f1b662299aae38cfa584ecc7d5 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a414026f1b662299aae38cfa584ecc7d5"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>n_d1_</b></td></tr>
<tr class="separator:a414026f1b662299aae38cfa584ecc7d5 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acf2aa28a8fcd6f66c0d3e49d019e7a6d inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="acf2aa28a8fcd6f66c0d3e49d019e7a6d"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>cum_d1_</b></td></tr>
<tr class="separator:acf2aa28a8fcd6f66c0d3e49d019e7a6d inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad3d57971c6d69a95c4a872963517c573 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="ad3d57971c6d69a95c4a872963517c573"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>n_d2_</b></td></tr>
<tr class="separator:ad3d57971c6d69a95c4a872963517c573 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a39a065eac6adb9f4b219476d8c0d7996 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a39a065eac6adb9f4b219476d8c0d7996"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>cum_d2_</b></td></tr>
<tr class="separator:a39a065eac6adb9f4b219476d8c0d7996 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab010c414801c67b5a609cbf6346afacb inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="ab010c414801c67b5a609cbf6346afacb"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>x_</b></td></tr>
<tr class="separator:ab010c414801c67b5a609cbf6346afacb inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9828f16d68b37c2e2f23997cab608a04 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a9828f16d68b37c2e2f23997cab608a04"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>DxDs_</b></td></tr>
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<tr class="memitem:a70eafc4ed3f5d3c8d56a40ec86685599 inherit pro_attribs_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a70eafc4ed3f5d3c8d56a40ec86685599"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>DxDstrike_</b></td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_black_calculator"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_black_calculator')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_black_calculator.html">BlackCalculator</a></td></tr>
<tr class="memitem:a3063bb5f945bd7f3a1454a6c5e64248c inherit pro_methods_class_quant_lib_1_1_black_calculator"><td class="memItemLeft" align="right" valign="top"><a id="a3063bb5f945bd7f3a1454a6c5e64248c"></a>
void </td><td class="memItemRight" valign="bottom"><b>initialize</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> > &p)</td></tr>
<tr class="separator:a3063bb5f945bd7f3a1454a6c5e64248c inherit pro_methods_class_quant_lib_1_1_black_calculator"><td class="memSeparator" colspan="2"> </td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Black-Scholes 1973 calculator class. </p>
</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="a397f8534c2b3d08642e5040c40426ab7"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a397f8534c2b3d08642e5040c40426ab7">◆ </a></span>delta() <span class="overload">[1/2]</span></h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> delta </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
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<p>Sensitivity to change in the underlying spot price. </p>
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<h2 class="memtitle"><span class="permalink"><a href="#a3279751aa21dd6b1bbb01f26d47dc115">◆ </a></span>elasticity() <span class="overload">[1/2]</span></h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> elasticity </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
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<p>Sensitivity in percent to a percent change in the underlying spot price. </p>
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<a id="aaed679bde0c499002fce41342891b61d"></a>
<h2 class="memtitle"><span class="permalink"><a href="#aaed679bde0c499002fce41342891b61d">◆ </a></span>gamma() <span class="overload">[1/2]</span></h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> gamma </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const</td>
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<p>Second order derivative with respect to change in the underlying spot price. </p>
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<a id="a9c2ec50ea41e7af302de7ddd5a8446cf"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a9c2ec50ea41e7af302de7ddd5a8446cf">◆ </a></span>theta() <span class="overload">[1/2]</span></h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> theta </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>
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<p>Sensitivity to time to maturity. </p>
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<a id="aa1f7cc87f80ba12bea93553ebe143183"></a>
<h2 class="memtitle"><span class="permalink"><a href="#aa1f7cc87f80ba12bea93553ebe143183">◆ </a></span>thetaPerDay() <span class="overload">[1/2]</span></h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> thetaPerDay </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>
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<p>Sensitivity to time to maturity per day (assuming 365 day in a year). </p>
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<a id="a35088290086ed80ca81fb5a9b2eb0f38"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a35088290086ed80ca81fb5a9b2eb0f38">◆ </a></span>delta() <span class="overload">[2/2]</span></h2>
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<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> delta</td>
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</div><div class="memdoc">
<p>Sensitivity to change in the underlying spot price. </p>
</div>
</div>
<a id="ac272ac67f7cf44ad5fabb296c3ec8765"></a>
<h2 class="memtitle"><span class="permalink"><a href="#ac272ac67f7cf44ad5fabb296c3ec8765">◆ </a></span>elasticity() <span class="overload">[2/2]</span></h2>
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<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> elasticity</td>
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<p>Sensitivity in percent to a percent change in the underlying spot price. </p>
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</div>
<a id="a3c6ebfe899117a8e20368fa39104bf07"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a3c6ebfe899117a8e20368fa39104bf07">◆ </a></span>gamma() <span class="overload">[2/2]</span></h2>
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<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> gamma</td>
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<p>Second order derivative with respect to change in the underlying spot price. </p>
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</div>
<a id="ad1574c2bb42f8e1d402ce1ef2b91ba3b"></a>
<h2 class="memtitle"><span class="permalink"><a href="#ad1574c2bb42f8e1d402ce1ef2b91ba3b">◆ </a></span>theta() <span class="overload">[2/2]</span></h2>
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<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> theta</td>
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<p>Sensitivity to time to maturity. </p>
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</div>
<a id="abba1bf8797f099026e699408878caedc"></a>
<h2 class="memtitle"><span class="permalink"><a href="#abba1bf8797f099026e699408878caedc">◆ </a></span>thetaPerDay() <span class="overload">[2/2]</span></h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> thetaPerDay</td>
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<p>Sensitivity to time to maturity per day, assuming 365 day per year. </p>
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