vanillaengines (3) - Linux Man Pages

NAME

Vanilla option engines -

Classes


class FdBlackScholesVanillaEngine
Finite-Differences Black Scholes vanilla option engine.
class FdHestonVanillaEngine
Finite-Differences Heston Vanilla Option engine.
class AnalyticBSMHullWhiteEngine
analytic european option pricer including stochastic interest rates
class AnalyticDigitalAmericanEngine
Analytic pricing engine for American vanilla options with digital payoff.
class AnalyticDividendEuropeanEngine
Analytic pricing engine for European options with discrete dividends.
class AnalyticEuropeanEngine
Pricing engine for European vanilla options using analytical formulae.
class AnalyticGJRGARCHEngine
GJR-GARCH(1,1) engine.
class AnalyticHestonEngine
analytic Heston-model engine based on Fourier transform
class AnalyticHestonHullWhiteEngine
Analytic Heston engine incl. stochastic interest rates.
class BaroneAdesiWhaleyApproximationEngine
Barone-Adesi and Whaley pricing engine for American options (1987).
class BatesEngine
Bates model engines based on Fourier transform.
class BinomialVanillaEngine< T >
Pricing engine for vanilla options using binomial trees.
class BjerksundStenslandApproximationEngine
Bjerksund and Stensland pricing engine for American options (1993).
class FDBermudanEngine
Finite-differences Bermudan engine.
class FDDividendEngineMerton73
Finite-differences pricing engine for dividend options using.
class FDDividendEngineShiftScale
Finite-differences engine for dividend options using shifted dividends.
class FDEuropeanEngine
Pricing engine for European options using finite-differences.
class FDStepConditionEngine
Finite-differences pricing engine for American-style vanilla options.
class FDVanillaEngine
Finite-differences pricing engine for BSM one asset options.
class IntegralEngine
Pricing engine for European vanilla options using integral approach.
class JumpDiffusionEngine
Jump-diffusion engine for vanilla options.
class JuQuadraticApproximationEngine
Pricing engine for American options with Ju quadratic approximation.
class MCAmericanEngine< RNG, S >
American Monte Carlo engine.
class MCDigitalEngine< RNG, S >
Pricing engine for digital options using Monte Carlo simulation.
class MCEuropeanEngine< RNG, S >
European option pricing engine using Monte Carlo simulation.
class MCEuropeanGJRGARCHEngine< RNG, S >
Monte Carlo GJR-GARCH-model engine for European options.
class MCEuropeanHestonEngine< RNG, S >
Monte Carlo Heston-model engine for European options.
class MCVanillaEngine< MC, RNG, S, Inst >
Pricing engine for vanilla options using Monte Carlo simulation.

Typedefs


typedef FDEngineAdapter< FDAmericanCondition< FDStepConditionEngine >, OneAssetOption::engine > FDAmericanEngine
Finite-differences pricing engine for American one asset options.
typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendAmericanEngine
Finite-differences pricing engine for dividend American options.
typedef FDEngineAdapter< FDDividendEngine, DividendVanillaOption::engine > FDDividendEuropeanEngine
Finite-differences pricing engine for dividend European options.
typedef FDEngineAdapter< FDShoutCondition< FDDividendEngine >, DividendVanillaOption::engine > FDDividendShoutEngine
Finite-differences shout engine with dividends.
typedef FDEngineAdapter< FDShoutCondition< FDStepConditionEngine >, VanillaOption::engine > FDShoutEngine
Finite-differences pricing engine for shout vanilla options.

Detailed Description

Typedef Documentation

typedef FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>, OneAssetOption::engine> FDAmericanEngine

Finite-differences pricing engine for American one asset options.

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 numerical derivatives.

Examples: EquityOption.cpp.

typedef FDEngineAdapter<FDAmericanCondition<FDDividendEngine>, DividendVanillaOption::engine> FDDividendAmericanEngine

Finite-differences pricing engine for dividend American options.

Tests

*
the correctness of the returned greeks is tested by reproducing numerical derivatives.
*
the invariance of the results upon addition of null dividends is tested.

Bug

results are not overly reliable.

method impliedVolatility() utterly fails

typedef FDEngineAdapter<FDDividendEngine, DividendVanillaOption::engine> FDDividendEuropeanEngine

Finite-differences pricing engine for dividend European options.

Tests

*
the correctness of the returned greeks is tested by reproducing numerical derivatives.
*
the invariance of the results upon addition of null dividends is tested.

typedef FDEngineAdapter<FDShoutCondition<FDDividendEngine>, DividendVanillaOption::engine> FDDividendShoutEngine

Finite-differences shout engine with dividends.

Bug

results are not overly reliable.

typedef FDEngineAdapter<FDShoutCondition<FDStepConditionEngine>, VanillaOption::engine> FDShoutEngine

Finite-differences pricing engine for shout vanilla options.

Tests

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

Author

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