AnalyticEuropeanEngine (3) - Linux Man Pages

AnalyticEuropeanEngine: Pricing engine for European vanilla options using analytical formulae.

NAME

QuantLib::AnalyticEuropeanEngine - Pricing engine for European vanilla options using analytical formulae.

SYNOPSIS


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

Inherits VanillaOption::engine.

Public Member Functions


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

void calculate () const

Detailed Description

Pricing engine for European vanilla options using analytical formulae.

Tests

*
the correctness of the returned value is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing results available in literature.
*
the correctness of the returned greeks is tested by reproducing numerical derivatives.
*
the correctness of the returned implied volatility is tested by using it for reproducing the target value.
*
the implied-volatility calculation is tested by checking that it does not modify the option.
*
the correctness of the returned value in case of cash-or-nothing digital payoff is tested by reproducing results available in literature.
*
the correctness of the returned value in case of asset-or-nothing digital payoff is tested by reproducing results available in literature.
*
the correctness of the returned value in case of gap digital payoff is tested by reproducing results available in literature.
*
the correctness of the returned greeks in case of cash-or-nothing digital payoff is tested by reproducing numerical derivatives.

Examples:

EquityOption.cpp, and Replication.cpp.

Author

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