/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2007 Cristina Duminuco Copyright (C) 2007 Chiara Fornarola Copyright (C) 2003, 2004, 2005, 2006 Ferdinando Ametrano Copyright (C) 2006 Mark Joshi Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb 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 . The license is also available online at . 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 blackformula.hpp \brief Black formula */ #ifndef quantlib_blackformula_hpp #define quantlib_blackformula_hpp #include #include namespace QuantLib { /*! Black 1976 formula \warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity) */ Real blackFormula(Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount = 1.0, Real displacement = 0.0); /*! Black 1976 formula \warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity) */ Real blackFormula(const boost::shared_ptr& payoff, Real forward, Real stdDev, Real discount = 1.0, Real displacement = 0.0); /*! Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity). It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996) */ Real blackFormulaImpliedStdDevApproximation(Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount = 1.0, Real displacement = 0.0); /*! Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity). It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996) */ Real blackFormulaImpliedStdDevApproximation( const boost::shared_ptr& payoff, Real forward, Real blackPrice, Real discount = 1.0, Real displacement = 0.0); /*! Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity) */ Real blackFormulaImpliedStdDev(Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount = 1.0, Real guess = Null(), Real accuracy = 1.0e-6, Real displacement = 0.0); /*! Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity) */ Real blackFormulaImpliedStdDev( const boost::shared_ptr& payoff, Real forward, Real blackPrice, Real discount = 1.0, Real guess = Null(), Real accuracy = 1.0e-6, Real displacement = 0.0); /*! Black 1976 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. \warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity) */ Real blackFormulaCashItmProbability(Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement = 0.0); /*! Black 1976 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. \warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity) */ Real blackFormulaCashItmProbability( const boost::shared_ptr& payoff, Real forward, Real stdDev, Real displacement = 0.0); /*! Black 1976 formula for standard deviation derivative \warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T) */ Real blackFormulaStdDevDerivative(Real strike, Real forward, Real stdDev, Real discount = 1.0, Real displacement = 0.0); /*! Black 1976 formula for standard deviation derivative \warning instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T) */ Real blackFormulaStdDevDerivative( const boost::shared_ptr& payoff, Real forward, Real stdDev, Real discount = 1.0, Real displacement = 0.0); /*! Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier. \warning Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity) */ Real bachelierBlackFormula(Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount = 1.0); /*! Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier. \warning Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity) */ Real bachelierBlackFormula( const boost::shared_ptr& payoff, Real forward, Real stdDev, Real discount = 1.0); } #endif