Docs / nablatensor-quant / com.nablatensor.quant
record
BlackScholes
Closed-form Black-Scholes price and Greeks for a European option, used as the analytic reference the Monte-Carlo adjoint result is checked against.
Sign conventions match Pricing: delta is dV/dS0, vega is dV/dsigma (per unit vol, not per 1%), rho is dV/dr, strikeSensitivity is dV/dK.
Record components
Methods
static BlackScholes of(OptionType type, EquityMarket m)
static double phi(double x)
Standard normal PDF.
static double N(double x)
Standard normal CDF via a rational erfc approximation (abs error < 1.5e-7).