Uses of Class
org.drip.pricer.option.Greeks

Packages that use Greeks
Package Description
org.drip.pricer.option
Deterministic/Stochastic Volatility Settings/Greeks

  • Uses of Greeks in org.drip.pricer.option

    Subclasses of Greeks in org.drip.pricer.option
    Modifier and Type Class Description
    class  PutGreeks
    PutGreeks contains the Sensitivities generated during the Put Option Pricing Run.
    Methods in org.drip.pricer.option that return Greeks
    Modifier and Type Method Description
    Greeks BlackNormalAlgorithm.greeks​(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblVolatility)  
    Greeks BlackScholesAlgorithm.greeks​(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblVolatility)  
    abstract Greeks FokkerPlanckGenerator.greeks​(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblInitialVolatility)
    Carry out a Sensitivity Run and generate the Pricing related measure set
    Greeks FokkerPlanckGenerator.greeks​(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblIntegratedSurfaceVariance)
    Carry out a Sensitivity Run and generate the Pricing related measure set
    Greeks FokkerPlanckGenerator.greeks​(int iSpotDate, int iExpiryDate, double dblStrike, MergedDiscountForwardCurve dcFunding, double dblUnderlier, boolean bIsPut, boolean bIsForward, R1ToR1 funcVolatilityR1ToR1)
    Carry out a Sensitivity Run and generate the Pricing related measure set
    Greeks HestonStochasticVolatilityAlgorithm.greeks​(double dblStrike, double dblTimeToExpiry, double dblRiskFreeRate, double dblUnderlier, boolean bIsPut, boolean bIsForward, double dblInitialVolatility)