AnalyticEuropeanEngine (3) Linux Manual Page
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
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- the correctness of the returned value is tested by reproducing results available in literature.
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- the correctness of the returned greeks is tested by reproducing results available in literature.
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- the correctness of the returned greeks is tested by reproducing numerical derivatives.
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- the correctness of the returned implied volatility is tested by using it for reproducing the target value.
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- the implied-volatility calculation is tested by checking that it does not modify the option.
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- the correctness of the returned value in case of cash-or-nothing digital payoff is tested by reproducing results available in literature.
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- the correctness of the returned value in case of asset-or-nothing digital payoff is tested by reproducing results available in literature.
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- the correctness of the returned value in case of gap digital payoff is tested by reproducing results available in literature.
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- the correctness of the returned greeks in case of cash-or-nothing digital payoff is tested by reproducing numerical derivatives.
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Examples:
EquityOption.cpp, and Replication.cpp.