Class BlackNormalAlgorithm

java.lang.Object
org.drip.pricer.option.FokkerPlanckGenerator
org.drip.pricer.option.BlackNormalAlgorithm
All Implemented Interfaces:
GenericPricer

public class BlackNormalAlgorithm
extends FokkerPlanckGenerator
BlackNormalAlgorithm implements the Black Normal European Call and Put Options Pricer.



Author:
Lakshmi Krishnamurthy
  • Constructor Summary

    Constructors
    Constructor Description
    BlackNormalAlgorithm()
    Empty BlackNormalAlgorithm Constructor - nothing to be filled in with
  • Method Summary

    Modifier and Type Method Description
    Greeks greeks​(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblVolatility)
    Carry out a Sensitivity Run and generate the Pricing related measure set
    double payoff​(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblVolatility, boolean bAsPrice)
    Compute the Expected Payoff of the Option from the Inputs

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
  • Constructor Details

    • BlackNormalAlgorithm

      public BlackNormalAlgorithm()
      Empty BlackNormalAlgorithm Constructor - nothing to be filled in with
  • Method Details

    • payoff

      public double payoff​(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblVolatility, boolean bAsPrice) throws java.lang.Exception
      Description copied from class: FokkerPlanckGenerator
      Compute the Expected Payoff of the Option from the Inputs
      Specified by:
      payoff in class FokkerPlanckGenerator
      Parameters:
      dblStrike - Option Strike
      dblTimeToExpiry - Option Time To Expiry
      dblRiskFreeRate - Option Risk Free Rate
      dblUnderlier - Option Underlier Value
      bIsPut - TRUE - The Option is a Put
      bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot
      dblVolatility - Option Initial Volatility Value
      bAsPrice - TRUE - Return the Discounted Payoff
      Returns:
      The Expected Option Payoff
      Throws:
      java.lang.Exception - Thrown if the Expected Payoff cannot be calculated
    • greeks

      public Greeks greeks​(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblVolatility)
      Description copied from class: FokkerPlanckGenerator
      Carry out a Sensitivity Run and generate the Pricing related measure set
      Specified by:
      greeks in class FokkerPlanckGenerator
      Parameters:
      dblStrike - Option Strike
      dblTimeToExpiry - Option Time To Expiry
      dblRiskFreeRate - Option Risk Free Rate
      dblUnderlier - Option Underlier Value
      bIsPut - TRUE - The Option is a Put
      bIsForward - TRUE - The Underlier represents the Forward, FALSE - it represents Spot
      dblVolatility - Option Initial Volatility Value
      Returns:
      The Greeks Sensitivities Output