ResidualTime_ (3) Linux Manual Page

QuantLib::SingleAssetOption – Black-Scholes-Merton option.

Synopsis

static const Real dVolMultiplier_



static const Real dRMultiplier_



Friends

Inherited by DiscreteGeometricASO.

Public Member Functions

static const Real dVolMultiplier_



static const Real dRMultiplier_



Friends

Real underlying_

PlainVanillaPayoff payoff_

Spread dividendYield_

Rate riskFreeRate_

Time residualTime_

Volatility volatility_

bool hasBeenCalculated_

Real rho_

Real dividendRho_

Real vega_

Real theta_

bool rhoComputed_

bool dividendRhoComputed_

bool vegaComputed_

bool thetaComputed_

Static Protected Attributes

static const Real dVolMultiplier_



static const Real dRMultiplier_



Friends

class VolatilityFunction

class DivYieldFunction

Detailed Description

Black-Scholes-Merton option.

Member Function Documentation

Volatility impliedVolatility (Real targetValue, Real accuracy = 1e-4, Size maxEvaluations = 100, Volatility minVol = 1.0e-7, Volatility maxVol = 4.0) const

Warning

Options with a gamma that changes sign have values that are not monotonic in the volatility, e.g binary options. In these cases impliedVolatility can fail and in any case is meaningless. Another possible source of failure is to have a targetValue that is not attainable with any volatility, e.g. a targetValue lower than the intrinsic value in the case of American options.

Author

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residualTime_ (3) Linux Manual Page