QuantLib_VanillaOption (3) - Linux Man Pages
QuantLib_VanillaOption: Vanilla option (no discrete dividends, no barriers) on a single asset.
QuantLib::VanillaOption - Vanilla option (no discrete dividends, no barriers) on a single asset.
Inherited by EuropeanOption.
Public Member Functions
VanillaOption (const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &)
Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
Vanilla option (no discrete dividends, no barriers) on a single asset.
Member Function Documentation
Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > & process, Real accuracy = 1.0e-4, Size maxEvaluations = 100, Volatility minVol = 1.0e-7, Volatility maxVol = 4.0) const
- currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give unconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)
- options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.
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