QuantLib: BlackScholesCalculator Class Reference

### A free/open-source library for quantitative finance

# BlackScholesCalculator Class Reference

`#include <ql/pricingengines/blackscholescalculator.hpp>`

Inheritance diagram for BlackScholesCalculator:

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List of all members.

## Detailed Description

Black-Scholes 1973 calculator class.

## Public Member Functions
| BlackScholesCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real spot, DiscountFactor growth, Real stdDev, DiscountFactor discount)
Real | delta () const
Real | elasticity () const
Real | gamma () const
Real | theta (Time maturity) const
Real | thetaPerDay (Time maturity) const
## Protected Attributes
Real | spot_
DiscountFactor | growth_

## Member Function Documentation

Real delta | ( |  | ) | const

Sensitivity to change in the underlying spot price.

Real elasticity | ( |  | ) | const

Sensitivity in percent to a percent change in the underlying spot price.

Real gamma | ( |  | ) | const

Second order derivative with respect to change in the underlying spot price.

Real theta | ( | Time | maturity | ) | const

Sensitivity to time to maturity.

Real thetaPerDay | ( | Time | maturity | ) | const

Sensitivity to time to maturity per day (assuming 365 day in a year).