Package org.drip.pricer.option

Class 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 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

    Modifier and Type Method 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 Details

    • 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 Details

    • 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