#include <ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp>
Inheritance diagram for AnalyticEuropeanEngine:
[legend]List of all members.
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:
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AmericanOption.cpp, and EuropeanOption.cpp.
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Public Member Functions |
void | calculate () const |
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