Uses of Enum Class
com.quantfinlib.pricing.BlackScholes.OptionType

Packages that use BlackScholes.OptionType

Package	Description
com.quantfinlib.crb	The central risk book: one netted view of the firm's risk across desks and products, with internalization, routing and hedging.
com.quantfinlib.hedging	Hedging algorithms across asset classes.
com.quantfinlib.pricing	Option and derivatives pricing models, implied volatility and volatility surfaces.
com.quantfinlib.rates	Fixed income: curves, bonds, swaps, day counts and calendars, with market conventions.

Uses of BlackScholes.OptionType in com.quantfinlib.crb

Methods in com.quantfinlib.crb with parameters of type BlackScholes.OptionType

Modifier and Type	Method	Description
void	CentralRiskBook.bookEquityOption(int desk, int equity, BlackScholes.OptionType type, double contracts, double multiplier, double spot, double strike, double rate, double carry, double vol, double timeYears)	As the String-keyed overload with dense ids from CentralRiskBook.deskId(String) and CentralRiskBook.equityHandle(String).
void	CentralRiskBook.bookEquityOption(String desk, String symbol, BlackScholes.OptionType type, double contracts, double multiplier, double spot, double strike, double rate, double carry, double vol, double timeYears)	Listed equity option: contracts signed, multiplier shares per contract (100 for US listed).
void	CentralRiskBook.bookFxOption(int desk, int pair, BlackScholes.OptionType type, double baseNotional, double spotRate, double strike, double domesticRate, double foreignRate, double vol, double timeYears)	As the String-keyed overload with dense ids from CentralRiskBook.deskId(String) and CentralRiskBook.fxPairHandle(String).
void	CentralRiskBook.bookFxOption(String desk, String pair, BlackScholes.OptionType type, double baseNotional, double spotRate, double strike, double domesticRate, double foreignRate, double vol, double timeYears)	FX option via Garman-Kohlhagen (BlackScholes with carry = foreign rate): baseNotional signed (long calls on base).

Uses of BlackScholes.OptionType in com.quantfinlib.hedging

Methods in com.quantfinlib.hedging that return BlackScholes.OptionType

Modifier and Type	Method	Description
BlackScholes.OptionType	OptionsBook.OptionPosition.type()	Returns the value of the type record component.

Methods in com.quantfinlib.hedging with parameters of type BlackScholes.OptionType

Modifier and Type	Method	Description
OptionsBook	OptionsBook.addOption(String label, BlackScholes.OptionType type, double strike, double expiryYears, double quantity, double impliedVol)
HedgingErrorDistribution	HedgingSimulator.simulate(BlackScholes.OptionType type, double spot, double strike, double expiryYears, double rate, double carry, double hedgeVol, double realizedVol, int stepsPerPath, int numPaths, DeltaHedger.Config hedgeConfig)	Simulates the hedging error distribution over Monte Carlo paths.
static DeltaHedger.HedgeReport	DeltaHedger.simulateShortOption(BlackScholes.OptionType type, double strike, double expiryYears, double rate, double carry, double hedgeVol, double[] path, double dtYears, DeltaHedger.Config config)	Simulates a short option delta-hedged along the given path.

Constructors in com.quantfinlib.hedging with parameters of type BlackScholes.OptionType

Modifier	Constructor	Description
	OptionPosition(String label, BlackScholes.OptionType type, double strike, double expiryYears, double quantity, double impliedVol)	Creates an instance of a OptionPosition record class.

Uses of BlackScholes.OptionType in com.quantfinlib.pricing

Subclasses with type arguments of type BlackScholes.OptionType in com.quantfinlib.pricing

Modifier and Type	Class	Description
static enum	BlackScholes.OptionType

Methods in com.quantfinlib.pricing that return BlackScholes.OptionType

Modifier and Type	Method	Description
static BlackScholes.OptionType	BlackScholes.OptionType.valueOf(String name)	Returns the enum constant of this class with the specified name.
static BlackScholes.OptionType[]	BlackScholes.OptionType.values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods in com.quantfinlib.pricing with parameters of type BlackScholes.OptionType

Modifier and Type	Method	Description
VolSurface.Builder	VolSurface.Builder.addFromPrice(BlackScholes.OptionType type, double marketPrice, double spot, double strike, double rate, double carry, double expiryYears)	Adds a pillar from a market option price via implied-vol inversion.
static double	AsianOption.arithmeticPrice(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears, int averagingPoints)	Arithmetic-average Asian price via Turnbull-Wakeman two-moment lognormal matching (see class doc; O(n) in the fixing count).
static double	DigitalOption.assetOrNothing(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears)	Pays one unit of the underlying if the option finishes in the money.
static double	ImpliedVolatility.black(BlackScholes.OptionType type, double forwardPrice, double forward, double strike, double timeYears)	Black implied volatility from an undiscounted (forward) option price.
double	DividendSchedule.bosVandermarkPrice(BlackScholes.OptionType type, double spot, double strike, double rate, double borrow, double vol, double timeYears)	European price with the Bos-Vandermark (2002) split: for dividends dᵢ at tᵢ ≤ T,
static double	DigitalOption.cashOrNothing(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears, double payout)	Fixed payout if spot finishes beyond the strike (call: above, put: below).
static double	DigitalOption.cashOrNothingSkewAdjusted(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double volSlope, double timeYears, double payout)	Cash-or-nothing digital consistent with a volatility smile: the limit of a tight call (put) spread priced on the smile,
static double	DigitalOption.cashOrNothingSkewAdjusted(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, VolSurface surface, double timeYears, double payout)	Skew-adjusted cash-or-nothing with vol and slope read from a VolSurface.
static double	AsianOption.curranPrice(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double[] fixingTimes, double timeYears, double observedSum, int observedCount)	Curran (1994) arithmetic-average price by conditioning on the geometric average, for arbitrary (possibly seasoned) fixing schedules.
static double	Bachelier.delta(BlackScholes.OptionType type, double forward, double strike, double rate, double normalVol, double timeYears)	Sensitivity to the forward: df·Φ(d) for a call, −df·Φ(−d) for a put.
static double	BinomialTree.delta(BlackScholes.OptionType type, BinomialTree.ExerciseStyle style, double spot, double strike, double rate, double carry, double vol, double timeYears, int steps)	Delta from the first tree step (central difference at t=dt).
static double	Black76.delta(BlackScholes.OptionType type, double forward, double strike, double rate, double vol, double timeYears)	Sensitivity to the forward (not spot): df·Φ(d₁) for calls.
static double	BlackScholes.delta(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears)
static double	HestonCos.delta(BlackScholes.OptionType type, double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p)	Delta dV/dS from the expansion (analytic in x = ln(S/K)).
static double	BinomialTree.earlyExercisePremium(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears, int steps)	Early-exercise premium: American price minus European price.
double	DividendSchedule.europeanPrice(BlackScholes.OptionType type, double spot, double strike, double rate, double borrow, double vol, double timeYears)	European price under the escrowed model: Black-Scholes on the adjusted spot, with borrow as the carry.
static double	AsianOption.geometricPrice(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears, int averagingPoints)	Exact discrete geometric-average Asian price (Kemna-Vorst).
static BlackScholes.Greeks	BlackScholes.greeks(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears)
static double	Bachelier.impliedVol(BlackScholes.OptionType type, double price, double forward, double strike, double rate, double timeYears)	Implied normal vol from a discounted price.
static double	Black76.impliedVol(BlackScholes.OptionType type, double marketPrice, double forward, double strike, double rate, double timeYears)	Black-76 implied vol from a discounted price, via ImpliedVolatility.black(BlackScholes.OptionType, double, double, double, double) (NaN if unattainable, 0 at intrinsic).
static double	BlackScholes.impliedVol(BlackScholes.OptionType type, double marketPrice, double spot, double strike, double rate, double carry, double timeYears)	Implied volatility from a market price, through ImpliedVolatility.black(BlackScholes.OptionType, double, double, double, double) on the forward F = S e^{(r-q)T} and the undiscounted price.
static double	BlackScholes.intrinsic(BlackScholes.OptionType type, double spot, double strike)
static double	AsianOption.levyPrice(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears, double averagingPeriod, double realisedAverage)	Levy (1992) continuous-average lognormal approximation with seasoning, as printed in Haug (2007, section 4.20.2).
static double	Bachelier.price(BlackScholes.OptionType type, double forward, double strike, double rate, double normalVol, double timeYears)	Discounted normal-model price.
static double	BarrierOption.price(BlackScholes.OptionType type, BarrierOption.Direction direction, BarrierOption.Knock knock, double spot, double strike, double barrier, double rebate, double rate, double carry, double vol, double timeYears)	Price of a single-barrier option with a cash rebate.
static double	BinomialTree.price(BlackScholes.OptionType type, BinomialTree.ExerciseStyle style, double spot, double strike, double rate, double carry, double vol, double timeYears, int steps)
static double	Black76.price(BlackScholes.OptionType type, double forward, double strike, double rate, double vol, double timeYears)	Discounted Black-76 price of a call/put on a forward.
static double	BlackScholes.price(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears)
static double	DividendTree.price(BlackScholes.OptionType type, BinomialTree.ExerciseStyle style, double spot, double strike, double rate, double borrow, double vol, double timeYears, DividendSchedule dividends, int steps)	Option price.
static double	HestonCos.price(BlackScholes.OptionType type, double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p)	European price with the default number of terms and truncation.
static double	HestonCos.price(BlackScholes.OptionType type, double spot, double strike, double rate, double divYield, double timeYears, Heston.Params p, int terms, double truncation)	European price.
LocalVolMonteCarlo.Result	LocalVolMonteCarlo.price(BlackScholes.OptionType type, double strike, double expiry, int pathPairs, int steps, long seed)	European option price.
double	LocalVolPde.price(BlackScholes.OptionType type, double strike, double expiry, int spaceNodes, int timeSteps)	European option price.
static double	QuantoOption.price(BlackScholes.OptionType type, double spot, double strike, double domesticRate, double foreignRate, double assetYield, double assetVol, double fxVol, double rho, double timeYears)	Quanto vanilla price in domestic currency per unit of the fixed conversion rate.
default double	TotalVarianceSurface.price(BlackScholes.OptionType type, double strike, double t)	Black-Scholes price of a European option off the surface.
double	VannaVolga.price(BlackScholes.OptionType type, double spot, double strike)	Smile-consistent price of a vanilla at any strike.
double	VolSurface.price(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double expiryYears)	Option price using the surface vol at (expiry, strike).
double	VannaVolga.priceExact(BlackScholes.OptionType type, double spot, double strike)	Vanilla price with weights from the exact 3x3 solve (VannaVolga.exactWeights(double, double)): BS(K; σ_atm) + Σ xᵢ · pillar smile cost.
void	IncrementalGreeks.reprice(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears)	Full reprice: re-anchors the expansion.
static double	BlackScholes.rho(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears)	Per 1.00 change in the domestic rate.
static double	BlackScholes.theta(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double timeYears)	Per year (divide by 365 for per-calendar-day).
static double	AsianOption.turnbullWakemanSeasoned(BlackScholes.OptionType type, double spot, double strike, double rate, double carry, double vol, double[] fixingTimes, double timeYears, double observedSum, int observedCount)	Turnbull-Wakeman two-moment price for an arithmetic average over arbitrary fixing times, some of which may already be struck.

Uses of BlackScholes.OptionType in com.quantfinlib.rates

Methods in com.quantfinlib.rates with parameters of type BlackScholes.OptionType

Modifier and Type	Method	Description
double	RatesOptions.VolModel.forwardValue(BlackScholes.OptionType type, double forward, double strike, double vol, double expiry)	Undiscounted option value on a forward under this model.
double	RatesOptions.VolModel.impliedVol(BlackScholes.OptionType type, double forwardValue, double forward, double strike, double expiry)	Implied vol of this model from an undiscounted value (NaN if unattainable).