QuantLib_VanillaOption man page

VanillaOption — Vanilla option (no discrete dividends, no barriers) on a single asset.

Synopsis

#include <ql/instruments/vanillaoption.hpp>

Inherits OneAssetOption.

Inherited by EuropeanOption.

Public Member Functions

VanillaOption (const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &)

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

Additional Inherited Members

Detailed Description

Vanilla option (no discrete dividends, no barriers) on a single asset.

Examples: EquityOption.cpp.

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

currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give unconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

Warning

options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

VanillaOption(3) is an alias of QuantLib_VanillaOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib