Package org.drip.pricer.option

Class BlackScholesAlgorithm

java.lang.Object

org.drip.pricer.option.FokkerPlanckGenerator

org.drip.pricer.option.BlackScholesAlgorithm

All Implemented Interfaces:

GenericPricer

public class BlackScholesAlgorithm
extends FokkerPlanckGenerator

BlackScholesAlgorithm implements the Black Scholes based European Call and Put Options Pricer.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Custom Pricing Algorithms and the Derivative Fokker Planck Trajectory Generators
• Package = Deterministic/Stochastic Volatility Settings/Greeks

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BlackScholesAlgorithm()	Empty BlackScholesAlgorithm 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 org.drip.pricer.option.FokkerPlanckGenerator

greeks, greeks, impliedBlackScholesVolatility, impliedVolatilityFromPrice, impliedVolatilityFromPrice, payoff, payoff

Methods inherited from class java.lang.Object

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

Constructor Details

BlackScholesAlgorithm

public BlackScholesAlgorithm()

Empty BlackScholesAlgorithm 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