analyticeuropeanengine(3)

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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