Greeks

java.lang.Object
- org.drip.pricer.option.Greeks

Direct Known Subclasses:

PutGreeks
```
public class Greeks
extends java.lang.Object
```
Greeks contains the Sensitivities/Pricing Measures common across both Call and Put Option Pricing Runs.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors
Constructor and Description
`Greeks(double dblDF, double dblEffectiveVolatility, double dblExpectedPayoff, double dblExpectedATMPayoff, double dblPrice, double dblProb1, double dblProb2, double dblDelta, double dblVega, double dblTheta, double dblRho, double dblGamma, double dblVanna, double dblVomma, double dblCharm, double dblVeta, double dblColor, double dblSpeed, double dblUltima)` The Greeks Constructor

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`double`	`charm()` The Option Charm
`double`	`color()` The Option Color
`double`	`delta()` The Option Delta
`double`	`df()` The Option Terminal Discount Factor
`double`	`effectiveVolatility()` The "Effective" Volatility
`double`	`expectedATMPayoff()` The Expected ATM Payoff
`double`	`expectedPayoff()` The Expected Payoff
`double`	`gamma()` The Option Gamma
`double`	`price()` The Option Price
`double`	`prob1()` The Prob 1 Term
`double`	`prob2()` The Prob 2 Term
`double`	`rho()` The Option Rho
`double`	`speed()` The Option Speed
`double`	`theta()` The Option Theta
`double`	`ultima()` The Option Ultima
`double`	`vanna()` The Option Vanna
`double`	`vega()` The Option Vega
`double`	`veta()` The Option Veta
`double`	`vomma()` The Option Vomma

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

- Constructor Detail
  - Greeks
```
public Greeks(double dblDF,
              double dblEffectiveVolatility,
              double dblExpectedPayoff,
              double dblExpectedATMPayoff,
              double dblPrice,
              double dblProb1,
              double dblProb2,
              double dblDelta,
              double dblVega,
              double dblTheta,
              double dblRho,
              double dblGamma,
              double dblVanna,
              double dblVomma,
              double dblCharm,
              double dblVeta,
              double dblColor,
              double dblSpeed,
              double dblUltima)
       throws java.lang.Exception
```
    The Greeks Constructor
    
    Parameters:
    
    dblDF - The Payoff Discount Factor
    
    dblEffectiveVolatility - Effective Volatility
    
    dblExpectedPayoff - Expected Forward Payoff
    
    dblExpectedATMPayoff - Expected ATM Forward Payoff
    
    dblPrice - Price
    
    dblProb1 - Probability Term #1
    
    dblProb2 - Probability Term #2
    
    dblDelta - Delta
    
    dblVega - Vega
    
    dblTheta - Theta
    
    dblRho - Rho
    
    dblGamma - Gamma
    
    dblVanna - Vanna
    
    dblVomma - Vomma
    
    dblCharm - Charm
    
    dblVeta - Veta
    
    dblColor - Color
    
    dblSpeed - Speed
    
    dblUltima - Ultima
    
    Throws:
    
    java.lang.Exception - Thrown if the Inputs are Invalid
- Method Detail
  - df
```
public double df()
```
    The Option Terminal Discount Factor
    
    Returns:
    
    The Option Terminal Discount Factor
  - effectiveVolatility
```
public double effectiveVolatility()
```
    The "Effective" Volatility
    
    Returns:
    
    The "Effective" Volatility
  - expectedPayoff
```
public double expectedPayoff()
```
    The Expected Payoff
    
    Returns:
    
    The Expected Payoff
  - expectedATMPayoff
```
public double expectedATMPayoff()
```
    The Expected ATM Payoff
    
    Returns:
    
    The Expected ATM Payoff
  - price
```
public double price()
```
    The Option Price
    
    Returns:
    
    The Option Price
  - prob1
```
public double prob1()
```
    The Prob 1 Term
    
    Returns:
    
    The Prob 1 Term
  - prob2
```
public double prob2()
```
    The Prob 2 Term
    
    Returns:
    
    The Prob 2 Term
  - delta
```
public double delta()
```
    The Option Delta
    
    Returns:
    
    The Option Delta
  - vega
```
public double vega()
```
    The Option Vega
    
    Returns:
    
    The Option Vega
  - theta
```
public double theta()
```
    The Option Theta
    
    Returns:
    
    The Option Theta
  - rho
```
public double rho()
```
    The Option Rho
    
    Returns:
    
    The Option Rho
  - gamma
```
public double gamma()
```
    The Option Gamma
    
    Returns:
    
    The Option Gamma
  - vanna
```
public double vanna()
```
    The Option Vanna
    
    Returns:
    
    The Option Vanna
  - vomma
```
public double vomma()
```
    The Option Vomma
    
    Returns:
    
    The Option Vomma
  - charm
```
public double charm()
```
    The Option Charm
    
    Returns:
    
    The Option Charm
  - veta
```
public double veta()
```
    The Option Veta
    
    Returns:
    
    The Option Veta
  - color
```
public double color()
```
    The Option Color
    
    Returns:
    
    The Option Color
  - speed
```
public double speed()
```
    The Option Speed
    
    Returns:
    
    The Option Speed
  - ultima
```
public double ultima()
```
    The Option Ultima
    
    Returns:
    
    The Option Ultima

Class Greeks

Constructor Summary

Method Summary

Methods inherited from class java.lang.Object

Constructor Detail

Greeks

Method Detail

df

effectiveVolatility

expectedPayoff

expectedATMPayoff

price

prob1

prob2

delta

vega

theta

rho

gamma

vanna

vomma

charm

veta

color

speed

ultima