BlackScholes Class Reference

#include <BlackScholes.h>

List of all members.

Public Member Functions
	BlackScholes (Real spot, Real volOrPrice, bool isVol, Real r, Real K, Real T, TypeOptionBS typeOption)
	Default constructor.
	BlackScholes ()
virtual	~BlackScholes ()
Real	getPrice ()
	Return price of the option.
Real	getDelta ()
	Return the Delta value for the option.
Real	getGamma ()
	Return the Gamma value for the option.
Real	getVega ()
	Return the Vega value for the option.
Real	getTheta ()
	Return the Theta value for the option.
Real	getRho ()
	Return the Rho value for the option.
Real	getVolatility () const
	Return the Volatility for the option.
Real	getStrike () const
	Return the strike of the option.
Real	getRate () const
	Return the risk free rate at maturity of the option.
Real	getSpot () const
	Return the spot of the option.
Real	getMaturity () const
	Return the maturity of the option.
bool	isCall () const
	Return the type of the option.
Protected Member Functions
void	changeRate (Real newRate)
void	changeVol (Real newVol)
void	changeMaturity (Real newMat)
void	changeSpot (Real newSpot)
void	changeStrike (Real newVol)
Protected Attributes
friend	OptionStrategy
	Allow to change rate for testing sensibility.
Private Member Functions
void	recalcInformation ()
Private Attributes
Real	_spot
Real	_vol
Real	_r
Real	_K
Real	_T
Real	d1
Real	d2
Real	_price
TypeOptionBS	_type

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Constructor & Destructor Documentation

BlackScholes::BlackScholes (  Real  spot, Real  volOrPrice, bool  isVol, Real  r, Real  K, Real  T, TypeOptionBS  typeOption )

Default constructor. Parameters: spot:  Spot price of the asset volOrPrice:  Parameter given : either vol or price, the other will be computed isVol:  Bool allowing the constructor to know if the col or the price has been given r:  Spot Rate until maturity of option K:  Strike of the option T:  Maturity of the option typeOption:  Type of the option (Call or Put) Definition at line 10 of file BlackScholes.cpp. References _K, _price, _r, _spot, _T, _type, _vol, absolute(), BlackScholes(), d1, d2, getPrice(), getVega(), r, and Real.

BlackScholes::BlackScholes (   )

Definition at line 43 of file BlackScholes.cpp. Referenced by BlackScholes().

BlackScholes::~BlackScholes (   )  [virtual]

Definition at line 46 of file BlackScholes.cpp.

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Member Function Documentation

void BlackScholes::changeMaturity (  Real  newMat  )  [protected]

Definition at line 154 of file BlackScholes.cpp. References _T, Real, and recalcInformation(). Referenced by OptionStrategy::changeMaturity().

void BlackScholes::changeRate (  Real  newRate  )  [protected]

Definition at line 144 of file BlackScholes.cpp. References _r, Real, and recalcInformation(). Referenced by OptionStrategy::changeRate().

void BlackScholes::changeSpot (  Real  newSpot  )  [protected]

Definition at line 159 of file BlackScholes.cpp. References _spot, Real, and recalcInformation(). Referenced by OptionStrategy::changeSpot().

void BlackScholes::changeStrike (  Real  newVol  )  [protected]

Definition at line 164 of file BlackScholes.cpp. References _K, Real, and recalcInformation(). Referenced by OptionStrategy::changeStrike().

void BlackScholes::changeVol (  Real  newVol  )  [protected]

Definition at line 149 of file BlackScholes.cpp. References _vol, Real, and recalcInformation(). Referenced by OptionStrategy::changeVol().

Real BlackScholes::getDelta (   )

Return the Delta value for the option. Definition at line 50 of file BlackScholes.cpp. References _type, Call, CumulativeNormal(), d1, Put, and Real. Referenced by inputBSOption(), and mainoption().

Real BlackScholes::getGamma (   )

Return the Gamma value for the option. Definition at line 68 of file BlackScholes.cpp. References _spot, _T, _vol, d1, NormalDensity(), and Real. Referenced by inputBSOption(), and mainoption().

Real BlackScholes::getMaturity (   )  const

Return the maturity of the option. Definition at line 136 of file BlackScholes.cpp. References _T, and Real. Referenced by OptionStrategy::changeMaturity(), and operator<<().

Real BlackScholes::getPrice (   )  [inline]

Return price of the option. Definition at line 72 of file BlackScholes.h. References _K, _price, _r, _spot, _T, _type, Call, CumulativeNormal(), d1, d2, Put, and Real. Referenced by BlackScholes(), VarianceSwap::getPrice(), inputBSOption(), mainbinomialtree(), mainoption(), RainbowOption::PriceByClosedForm_MinOf2_call(), RainbowOption::PriceByClosedForm_MinOf2_put(), and RainbowOption::PriceByClosedForm_WorseOf2().

Real BlackScholes::getRate (   )  const

Return the risk free rate at maturity of the option. Definition at line 128 of file BlackScholes.cpp. References _r, and Real. Referenced by OptionStrategy::changeRate(), and operator<<().

Real BlackScholes::getRho (   )

Return the Rho value for the option. Definition at line 102 of file BlackScholes.cpp. References _K, _r, _T, _type, Call, CumulativeNormal(), d2, Put, and Real. Referenced by inputBSOption(), and mainoption().

Real BlackScholes::getSpot (   )  const

Return the spot of the option. Definition at line 132 of file BlackScholes.cpp. References _spot, and Real. Referenced by OptionStrategy::changeSpot(), and operator<<().

Real BlackScholes::getStrike (   )  const

Return the strike of the option. Definition at line 124 of file BlackScholes.cpp. References _K, and Real. Referenced by OptionStrategy::changeStrike(), VarianceSwap::getPrice(), and operator<<().

Real BlackScholes::getTheta (   )

Return the Theta value for the option. Definition at line 84 of file BlackScholes.cpp. References _K, _r, _spot, _T, _type, _vol, Call, CumulativeNormal(), d1, d2, NormalDensity(), Put, and Real. Referenced by inputBSOption(), and mainoption().

Real BlackScholes::getVega (   )

Return the Vega value for the option. Definition at line 72 of file BlackScholes.cpp. References _spot, _T, d1, NormalDensity(), and Real. Referenced by BlackScholes(), inputBSOption(), and mainoption().

Real BlackScholes::getVolatility (   )  const

Return the Volatility for the option. Definition at line 120 of file BlackScholes.cpp. References _vol, and Real. Referenced by OptionStrategy::changeVol(), volsurface::invertBSformula(), mainoption(), and operator<<().

bool BlackScholes::isCall (   )  const

Return the type of the option. Definition at line 140 of file BlackScholes.cpp. References _type, and Call. Referenced by VarianceSwap::getPrice(), and operator<<().

void BlackScholes::recalcInformation (   )  [private]

Definition at line 169 of file BlackScholes.cpp. References _K, _r, _spot, _T, _vol, d1, and d2. Referenced by changeMaturity(), changeRate(), changeSpot(), changeStrike(), and changeVol().

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Member Data Documentation

Real BlackScholes::_K [private]

Definition at line 66 of file BlackScholes.h. Referenced by BlackScholes(), changeStrike(), getPrice(), getRho(), getStrike(), getTheta(), and recalcInformation().

Real BlackScholes::_price [private]

Definition at line 68 of file BlackScholes.h. Referenced by BlackScholes(), and getPrice().

Real BlackScholes::_r [private]

Definition at line 66 of file BlackScholes.h. Referenced by BlackScholes(), changeRate(), getPrice(), getRate(), getRho(), getTheta(), and recalcInformation().

Real BlackScholes::_spot [private]

Definition at line 66 of file BlackScholes.h. Referenced by BlackScholes(), changeSpot(), getGamma(), getPrice(), getSpot(), getTheta(), getVega(), and recalcInformation().

Real BlackScholes::_T [private]

Definition at line 66 of file BlackScholes.h. Referenced by BlackScholes(), changeMaturity(), getGamma(), getMaturity(), getPrice(), getRho(), getTheta(), getVega(), and recalcInformation().

TypeOptionBS BlackScholes::_type [private]

Definition at line 69 of file BlackScholes.h. Referenced by BlackScholes(), getDelta(), getPrice(), getRho(), getTheta(), and isCall().

Real BlackScholes::_vol [private]

Definition at line 66 of file BlackScholes.h. Referenced by BlackScholes(), changeVol(), getGamma(), getTheta(), getVolatility(), and recalcInformation().

Real BlackScholes::d1 [private]

Definition at line 67 of file BlackScholes.h. Referenced by BlackScholes(), getDelta(), getGamma(), getPrice(), getTheta(), getVega(), and recalcInformation().

Real BlackScholes::d2 [private]

Definition at line 67 of file BlackScholes.h. Referenced by BlackScholes(), getPrice(), getRho(), getTheta(), and recalcInformation().

friend BlackScholes::OptionStrategy [protected]

Allow to change rate for testing sensibility. Definition at line 57 of file BlackScholes.h.

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The documentation for this class was generated from the following files:

• BlackScholes.h
• BlackScholes.cpp

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