com.github.vonrosen.quantlib

Class BlackCalculator

java.lang.Object

com.github.vonrosen.quantlib.BlackCalculator

public class BlackCalculator
extends Object

Field Summary

Fields

Modifier and Type	Field and Description
protected boolean	swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	BlackCalculator(long cPtr, boolean cMemoryOwn)
	BlackCalculator(Payoff payoff, double forward, double stdDev)
	BlackCalculator(Payoff payoff, double forward, double stdDev, double discount)

Method Summary

Modifier and Type	Method and Description
double	alpha()
double	beta()
void	delete()
double	delta(double spot)
double	deltaForward()
double	dividendRho(double maturity)
double	elasticity(double spot)
double	elasticityForward()
protected void	finalize()
double	gamma(double spot)
double	gammaForward()
protected static long	getCPtr(BlackCalculator obj)
double	itmAssetProbability()
double	itmCashProbability()
double	rho(double maturity)
double	strikeSensitivity()
double	theta(double spot, double maturity)
double	thetaPerDay(double spot, double maturity)
double	value()
double	vega(double maturity)

Methods inherited from class java.lang.Object

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

Field Detail

swigCMemOwn

protected transient boolean swigCMemOwn

Constructor Detail

BlackCalculator

protected BlackCalculator(long cPtr,
                          boolean cMemoryOwn)

BlackCalculator

public BlackCalculator(Payoff payoff,
                       double forward,
                       double stdDev,
                       double discount)

BlackCalculator

public BlackCalculator(Payoff payoff,
                       double forward,
                       double stdDev)

Method Detail

getCPtr

protected static long getCPtr(BlackCalculator obj)

finalize

protected void finalize()

Overrides:

finalize in class Object

delete

public void delete()

value

public double value()

deltaForward

public double deltaForward()

delta

public double delta(double spot)

elasticityForward

public double elasticityForward()

elasticity

public double elasticity(double spot)

gammaForward

public double gammaForward()

gamma

public double gamma(double spot)

theta

public double theta(double spot,
                    double maturity)

thetaPerDay

public double thetaPerDay(double spot,
                          double maturity)

vega

public double vega(double maturity)

rho

public double rho(double maturity)

dividendRho

public double dividendRho(double maturity)

itmCashProbability

public double itmCashProbability()

itmAssetProbability

public double itmAssetProbability()

strikeSensitivity

public double strikeSensitivity()

alpha

public double alpha()

beta

public double beta()