org.drip.pricer.option

Class PutGreeks

java.lang.Object

org.drip.pricer.option.Greeks

org.drip.pricer.option.PutGreeks

public class PutGreeks
extends Greeks

PutGreeks contains the Sensitivities generated during the Put Option Pricing Run.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description

PutGreeks(double dblDF, double dblEffectiveVolatility, double dblExpectedPayoff, double dblExpectedATMPayoff, double dblPutPrice, double dblPutPriceFromParity, double dblPutProb1, double dblPutProb2, double dblPutDelta, double dblPutVega, double dblPutTheta, double dblPutRho, double dblPutGamma, double dblPutVanna, double dblPutVomma, double dblPutCharm, double dblPutVeta, double dblPutColor, double dblPutSpeed, double dblPutUltima) The PutGreeks Constructor

Method Summary

Modifier and Type	Method and Description
double	putPriceFromParity() The Put Option Price Computed from the Put-Call Parity Relation

Methods inherited from class org.drip.pricer.option.Greeks

charm, color, delta, df, effectiveVolatility, expectedATMPayoff, expectedPayoff, gamma, price, prob1, prob2, rho, speed, theta, ultima, vanna, vega, veta, vomma

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

PutGreeks

public PutGreeks(double dblDF,
                 double dblEffectiveVolatility,
                 double dblExpectedPayoff,
                 double dblExpectedATMPayoff,
                 double dblPutPrice,
                 double dblPutPriceFromParity,
                 double dblPutProb1,
                 double dblPutProb2,
                 double dblPutDelta,
                 double dblPutVega,
                 double dblPutTheta,
                 double dblPutRho,
                 double dblPutGamma,
                 double dblPutVanna,
                 double dblPutVomma,
                 double dblPutCharm,
                 double dblPutVeta,
                 double dblPutColor,
                 double dblPutSpeed,
                 double dblPutUltima)
          throws java.lang.Exception

The PutGreeks Constructor

Parameters:

dblDF - The Payoff Discount Factor

dblEffectiveVolatility - Effective Volatility

dblExpectedPayoff - Expected Forward Payoff

dblExpectedATMPayoff - Expected ATM Forward Payoff

dblPutPrice - Put Price

dblPutPriceFromParity - Put Price Computed from Put-Call Parity

dblPutProb1 - Put Probability Term #1

dblPutProb2 - Put Probability Term #2

dblPutDelta - Put Delta

dblPutVega - Put Vega

dblPutTheta - Put Theta

dblPutRho - Put Rho

dblPutGamma - Put Gamma

dblPutVanna - Put Vanna

dblPutVomma - Put Vomma

dblPutCharm - Put Charm

dblPutVeta - Put Veta

dblPutColor - Put Color

dblPutSpeed - Put Speed

dblPutUltima - Put Ultima

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

putPriceFromParity

public double putPriceFromParity()

The Put Option Price Computed from the Put-Call Parity Relation

Returns:

The Put Option Price Computed from the Put-Call Parity Relation