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QuantLib_DividendVanillaOption
Langue: en
Version: 374848 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- 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) constWarning
- void setupArguments (PricingEngine::arguments *) const [protected, virtual]When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
- Author
NAME
QuantLib::DividendVanillaOption -Single-asset vanilla option (no barriers) with discrete dividends.
SYNOPSIS
#include <ql/instruments/dividendvanillaoption.hpp>
Inherits QuantLib::OneAssetOption.
Classes
class arguments
Arguments for dividend vanilla option calculation
class engine
Dividend-vanilla-option engine base class
Public Member Functions
DividendVanillaOption (const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const std::vector< Date > ÷ndDates, const std::vector< Real > ÷nds)
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
Protected Member Functions
void setupArguments (PricingEngine::arguments *) const
Detailed Description
Single-asset vanilla option (no barriers) with discrete dividends.
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) constWarning
- see VanillaOption for notes on implied-volatility calculation.
void setupArguments (PricingEngine::arguments *) const [protected, virtual]When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Option.
Author
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