QuantLib_AnalyticEuropeanEngine man page

AnalyticEuropeanEngine — Pricing engine for European vanilla options using analytical formulae.  

Synopsis

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

Inherits engine.

Public Member Functions

AnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
AnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< YieldTermStructure > &discountCurve)
void calculate () const

Detailed Description

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.

Constructor & Destructor Documentation

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

This constructor triggers the usual calculation, in which the risk-free rate in the given process is used for both forecasting and discounting.

AnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > & process, const Handle< YieldTermStructure > & discountCurve)

This constructor allows to use a different term structure for discounting the payoff. As usual, the risk-free rate from the given process is used for forecasting the forward price.

Author

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Referenced By

The man page AnalyticEuropeanEngine(3) is an alias of QuantLib_AnalyticEuropeanEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib