AnalyticDividendEuropeanEngine (3) - Linux Man Pages

AnalyticDividendEuropeanEngine: Analytic pricing engine for European options with discrete dividends.

NAME

QuantLib::AnalyticDividendEuropeanEngine - Analytic pricing engine for European options with discrete dividends.

SYNOPSIS


#include <ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp>

Inherits QuantLib::DividendVanillaOption::engine.

Public Member Functions


AnalyticDividendEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)

void calculate () const

Detailed Description

Analytic pricing engine for European options with discrete dividends.

Tests

the correctness of the returned greeks is tested by reproducing numerical derivatives.

Author

Generated automatically by Doxygen for QuantLib from the source code.