Class BlackScholesCalculator

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The Black-Scholes (1973) calculator: BlackCalculator on the forward of a spot, its growth and discount factors, with the spot sensitivities at that spot.

public sealed class BlackScholesCalculator : BlackCalculator

Inheritance

object

BlackCalculator

BlackScholesCalculator

Inherited Members

BlackCalculator.Delta(double)

BlackCalculator.Elasticity(double)

BlackCalculator.Gamma(double)

BlackCalculator.Theta(double, double)

BlackCalculator.ThetaPerDay(double, double)

BlackCalculator.Vega(double)

BlackCalculator.Rho(double)

BlackCalculator.DividendRho(double)

BlackCalculator.Vanna(double, double)

BlackCalculator.Volga(double)

BlackCalculator.Value

BlackCalculator.DeltaForward

BlackCalculator.ElasticityForward

BlackCalculator.GammaForward

BlackCalculator.ItmCashProbability

BlackCalculator.ItmAssetProbability

BlackCalculator.StrikeSensitivity

BlackCalculator.StrikeGamma

BlackCalculator.Alpha

BlackCalculator.Beta

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable, as its base.

Constructors

BlackScholesCalculator(StrikedTypePayoff, double, double, double, double)

Initializes a new instance of the BlackScholesCalculator class for a striked payoff.

public BlackScholesCalculator(StrikedTypePayoff payoff, double spot, double growth, double stdDev, double discount)

Parameters

payoff StrikedTypePayoff

The payoff.

spot double

The spot.

growth double

The growth factor, the dividend discount to expiry.

stdDev double

The standard deviation of the log of the underlying at expiry, σ√T.

discount double

The discount factor.

Exceptions

ArgumentNullException

payoff is null.

ArgumentException

The base's refusals, or the spot or the growth isn't positive.

BlackScholesCalculator(OptionType, double, double, double, double, double)

Initializes a new instance of the BlackScholesCalculator class for a plain vanilla payoff.

public BlackScholesCalculator(OptionType optionType, double strike, double spot, double growth, double stdDev, double discount)

Parameters

optionType OptionType

The option's type.

strike double

The strike.

spot double

The spot.

growth double

The growth factor, the dividend discount to expiry.

stdDev double

The standard deviation of the log of the underlying at expiry, σ√T.

discount double

The discount factor.

Exceptions

ArgumentOutOfRangeException

optionType isn't a member of its type.

ArgumentException

The base's refusals, or the spot or the growth isn't positive.

Methods

Delta()

The sensitivity to the spot.

public double Delta()

Returns

double

The delta.

Elasticity()

The sensitivity in percent to a percent change in the spot.

public double Elasticity()

Returns

double

The elasticity.

Gamma()

The second derivative in the spot.

public double Gamma()

Returns

double

The gamma.

Theta(double)

The sensitivity to the time to maturity.

public double Theta(double maturity)

Parameters

maturity double

The time to maturity.

Returns

double

The theta.

ThetaPerDay(double)

The sensitivity to the time to maturity per day, a year of 365 days.

public double ThetaPerDay(double maturity)

Parameters

maturity double

The time to maturity.

Returns

double

The theta per day.