/usr/include/ql/pricingengines/blackscholescalculator.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2006 Ferdinando Ametrano
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file blackscholescalculator.hpp
\brief Black-Scholes formula calculator class
*/
#ifndef quantlib_blackscholescalculator_hpp
#define quantlib_blackscholescalculator_hpp
#include <ql/pricingengines/blackcalculator.hpp>
namespace QuantLib {
//! Black-Scholes 1973 calculator class
class BlackScholesCalculator : public BlackCalculator {
public:
BlackScholesCalculator(
const boost::shared_ptr<StrikedTypePayoff>& payoff,
Real spot,
DiscountFactor growth,
Real stdDev,
DiscountFactor discount);
BlackScholesCalculator(Option::Type optionType,
Real strike,
Real spot,
DiscountFactor growth,
Real stdDev,
DiscountFactor discount);
virtual ~BlackScholesCalculator() {}
/*! Sensitivity to change in the underlying spot price. */
Real delta() const;
/*! Sensitivity in percent to a percent change in the
underlying spot price. */
Real elasticity() const;
/*! Second order derivative with respect to change in the
underlying spot price. */
Real gamma() const;
/*! Sensitivity to time to maturity. */
Real theta(Time maturity) const;
/*! Sensitivity to time to maturity per day
(assuming 365 day in a year). */
Real thetaPerDay(Time maturity) const;
// also un-hide overloads taking a spot
using BlackCalculator::delta;
using BlackCalculator::elasticity;
using BlackCalculator::gamma;
using BlackCalculator::theta;
using BlackCalculator::thetaPerDay;
protected:
Real spot_;
DiscountFactor growth_;
};
// inline
inline Real BlackScholesCalculator::delta() const {
return BlackCalculator::delta(spot_);
}
inline Real BlackScholesCalculator::elasticity() const {
return BlackCalculator::elasticity(spot_);
}
inline Real BlackScholesCalculator::gamma() const {
return BlackCalculator::gamma(spot_);
}
inline Real BlackScholesCalculator::theta(Time maturity) const {
return BlackCalculator::theta(spot_, maturity);
}
inline Real BlackScholesCalculator::thetaPerDay(Time maturity) const {
return BlackCalculator::thetaPerDay(spot_, maturity);
}
}
#endif
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