QuantLib_AnalyticDividendEuropeanEngine (3) - Linux Manuals
QuantLib_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
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