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QuantLib_AnalyticEuropeanEngine

Langue: en

Autres versions - même langue

Version: 167218 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

QuantLib::AnalyticEuropeanEngine - Pricing engine for European vanilla options using analytical formulae.

#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>

Inherits VanillaOption::engine.

AnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)

void calculate () const

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.

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