QuantLib_DividendVanillaOption man page

DividendVanillaOption — Single-asset vanilla option (no barriers) with discrete dividends.

Synopsis

#include <ql/instruments/dividendvanillaoption.hpp>

Inherits 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 > &dividendDates, const std::vector< Real > &dividends)

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

Additional Inherited Members

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) const

Warning

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 Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

DividendVanillaOption(3) is an alias of QuantLib_DividendVanillaOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib