QuantLib_AnalyticDividendEuropeanEngine man page

AnalyticDividendEuropeanEngine — Analytic pricing engine for European options with discrete dividends.

Synopsis

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

Inherits DividendVanillaOption::engine.

Public Member Functions

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

void calculate () const

Additional Inherited Members

Detailed Description

Analytic pricing engine for European options with discrete dividends.

Tests

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

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AnalyticDividendEuropeanEngine(3) is an alias of QuantLib_AnalyticDividendEuropeanEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib