18902330216

Committed 29 Oct 2025 08:56AM UTC coverage: 74.321% (+0.4%) from 73.914%

Build # 18902330216

Build Type

Pull #2344

github

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web-flow

Commit Message

Merge a8095fd90 into d823f4ecb

Pull Request Pull Request #2344: add multicurve bootstrap

Run Details

100 of 104 new or added lines in 8 files covered. (96.15%)

216 existing lines in 13 files now uncovered.

57073 of 76793 relevant lines covered (74.32%)

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83.33

/ql/pricingengines/blackcalculator.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2003, 2004, 2005, 2006 Ferdinando Ametrano
 Copyright (C) 2006 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <https://www.quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file blackcalculator.hpp
    \brief Black-formula calculator class
*/

#ifndef quantlib_blackcalculator_hpp
#define quantlib_blackcalculator_hpp

#include <ql/instruments/payoffs.hpp>

namespace QuantLib {

    //! Black 1976 calculator class
    class BlackCalculator {
      private:
        class Calculator;
      public:
        BlackCalculator(const ext::shared_ptr<StrikedTypePayoff>& payoff,
                        Real forward,
                        Real stdDev,
                        Real discount = 1.0);
        BlackCalculator(Option::Type optionType,
                        Real strike,
                        Real forward,
                        Real stdDev,
                        Real discount = 1.0);
        virtual ~BlackCalculator() = default;

        Real value() const;

        /*! Sensitivity to change in the underlying forward price. */
        Real deltaForward() const;
        /*! Sensitivity to change in the underlying spot price. */
        virtual Real delta(Real spot) const;

        /*! Sensitivity in percent to a percent change in the
            underlying forward price. */
        Real elasticityForward() const;
        /*! Sensitivity in percent to a percent change in the
            underlying spot price. */
        virtual Real elasticity(Real spot) const;

        /*! Second order derivative with respect to change in the
            underlying forward price. */
        Real gammaForward() const;
        /*! Second order derivative with respect to change in the
            underlying spot price. */
        virtual Real gamma(Real spot) const;

        /*! Sensitivity to time to maturity. */
        virtual Real theta(Real spot,
                           Time maturity) const;
        /*! Sensitivity to time to maturity per day,
            assuming 365 day per year. */
        virtual Real thetaPerDay(Real spot,
                                 Time maturity) const;

        /*! Sensitivity to volatility. */
        Real vega(Time maturity) const;

        /*! Sensitivity to discounting rate. */
        Real rho(Time maturity) const;

        /*! Sensitivity to dividend/growth rate. */
        Real dividendRho(Time maturity) const;

        /*! Probability of being in the money in the bond martingale
            measure, i.e. N(d2).
            It is a risk-neutral probability, not the real world one.
        */
        Real itmCashProbability() const;

        /*! Probability of being in the money in the asset martingale
            measure, i.e. N(d1).
            It is a risk-neutral probability, not the real world one.
        */
        Real itmAssetProbability() const;

        /*! Sensitivity to strike. */
        Real strikeSensitivity() const;

        /*! gamma w.r.t. strike. */
        Real strikeGamma() const;

        /*! Sensitivity of vega to spot (Vanna) */
        Real vanna(Real spot, Time maturity) const;

        /*! Sensitivity of vega to volatility (Volga) */
        Real volga(Time maturity) const;

        Real alpha() const;
        Real beta() const;
        
      protected:
        void initialize(const ext::shared_ptr<StrikedTypePayoff>& p);
        
        Real strike_, forward_, stdDev_, discount_, variance_;
        Real d1_, d2_;
        Real alpha_, beta_, DalphaDd1_, DbetaDd2_;
        Real n_d1_, cum_d1_, n_d2_, cum_d2_;
        Real x_, DxDs_, DxDstrike_;
    };

    // inline
    inline Real BlackCalculator::thetaPerDay(Real spot,
                                             Time maturity) const {
        return theta(spot, maturity)/365.0;
    }

    inline Real BlackCalculator::itmCashProbability() const {
        return cum_d2_;
    }

    inline Real BlackCalculator::itmAssetProbability() const {
        return cum_d1_;
    }

    inline Real BlackCalculator::alpha() const {
        return alpha_;
    }

    inline Real BlackCalculator::beta() const {
        return beta_;
    }

}

#endif

1	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3	/*
4	Copyright (C) 2003, 2004, 2005, 2006 Ferdinando Ametrano
5	Copyright (C) 2006 StatPro Italia srl
6
7	This file is part of QuantLib, a free-software/open-source library
8	for financial quantitative analysts and developers - http://quantlib.org/
9
10	QuantLib is free software: you can redistribute it and/or modify it
11	under the terms of the QuantLib license. You should have received a
12	copy of the license along with this program; if not, please email
13	<quantlib-dev@lists.sf.net>. The license is also available online at
14	<https://www.quantlib.org/license.shtml>.
15
16	This program is distributed in the hope that it will be useful, but WITHOUT
17	ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18	FOR A PARTICULAR PURPOSE. See the license for more details.
19	*/
20
21	/*! \file blackcalculator.hpp
22	\brief Black-formula calculator class
23	*/
24
25	#ifndef quantlib_blackcalculator_hpp
26	#define quantlib_blackcalculator_hpp
27
28	#include <ql/instruments/payoffs.hpp>
29
30	namespace QuantLib {
31
32	//! Black 1976 calculator class
33	class BlackCalculator {
34	private:
35	class Calculator;
36	public:
37	BlackCalculator(const ext::shared_ptr<StrikedTypePayoff>& payoff,
38	Real forward,
39	Real stdDev,
40	Real discount = 1.0);
41	BlackCalculator(Option::Type optionType,
42	Real strike,
43	Real forward,
44	Real stdDev,
45	Real discount = 1.0);
46	virtual ~BlackCalculator() = default;	6,302,046✔
47
48	Real value() const;
49
50	/! Sensitivity to change in the underlying forward price. /
51	Real deltaForward() const;
52	/! Sensitivity to change in the underlying spot price. /
53	virtual Real delta(Real spot) const;
54
55	/*! Sensitivity in percent to a percent change in the
56	underlying forward price. */
57	Real elasticityForward() const;
58	/*! Sensitivity in percent to a percent change in the
59	underlying spot price. */
60	virtual Real elasticity(Real spot) const;
61
62	/*! Second order derivative with respect to change in the
63	underlying forward price. */
64	Real gammaForward() const;
65	/*! Second order derivative with respect to change in the
66	underlying spot price. */
67	virtual Real gamma(Real spot) const;
68
69	/! Sensitivity to time to maturity. /
70	virtual Real theta(Real spot,
71	Time maturity) const;
72	/*! Sensitivity to time to maturity per day,
73	assuming 365 day per year. */
74	virtual Real thetaPerDay(Real spot,
75	Time maturity) const;
76
77	/! Sensitivity to volatility. /
78	Real vega(Time maturity) const;
79
80	/! Sensitivity to discounting rate. /
81	Real rho(Time maturity) const;
82
83	/! Sensitivity to dividend/growth rate. /
84	Real dividendRho(Time maturity) const;
85
86	/*! Probability of being in the money in the bond martingale
87	measure, i.e. N(d2).
88	It is a risk-neutral probability, not the real world one.
89	*/
90	Real itmCashProbability() const;
91
92	/*! Probability of being in the money in the asset martingale
93	measure, i.e. N(d1).
94	It is a risk-neutral probability, not the real world one.
95	*/
96	Real itmAssetProbability() const;
97
98	/! Sensitivity to strike. /
99	Real strikeSensitivity() const;
100
101	/! gamma w.r.t. strike. /
102	Real strikeGamma() const;
103
104	/! Sensitivity of vega to spot (Vanna) /
105	Real vanna(Real spot, Time maturity) const;
106
107	/! Sensitivity of vega to volatility (Volga) /
108	Real volga(Time maturity) const;
109
110	Real alpha() const;
111	Real beta() const;
112
113	protected:
114	void initialize(const ext::shared_ptr<StrikedTypePayoff>& p);
115
116	Real strike_, forward_, stdDev_, discount_, variance_;
117	Real d1_, d2_;
118	Real alpha_, beta_, DalphaDd1_, DbetaDd2_;
119	Real n_d1_, cum_d1_, n_d2_, cum_d2_;
120	Real x_, DxDs_, DxDstrike_;
121	};
122
123	// inline
UNCOV 124	inline Real BlackCalculator::thetaPerDay(Real spot,	×
125	Time maturity) const {
126	return theta(spot, maturity)/365.0;	570,935✔
127	}
128
129	inline Real BlackCalculator::itmCashProbability() const {
130	return cum_d2_;	528,898✔
131	}
132
133	inline Real BlackCalculator::itmAssetProbability() const {
134	return cum_d1_;	1✔
135	}
136
137	inline Real BlackCalculator::alpha() const {
138	return alpha_;
139	}
140
141	inline Real BlackCalculator::beta() const {
142	return beta_;	24,949✔
143	}
144
145	}
146
147	#endif

lballabio / QuantLib / 18902330216

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