SingleAssetOption Class Reference
#include <ql/Pricers/singleassetoption.hpp>
Inheritance diagram for SingleAssetOption:

Detailed Description
Black-Scholes-Merton option.
Public Member Functions | |
SingleAssetOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility) | |
virtual void | setVolatility (Volatility newVolatility) |
virtual void | setRiskFreeRate (Rate newRate) |
virtual void | setDividendYield (Rate newDividendYield) |
virtual Real | value () const =0 |
virtual Real | delta () const =0 |
virtual Real | gamma () const =0 |
virtual Real | theta () const |
virtual Real | vega () const |
virtual Real | rho () const |
virtual Real | dividendRho () const |
Volatility | impliedVolatility (Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const |
Spread | impliedDivYield (Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Spread minYield=QL_MIN_DIVYIELD, Spread maxYield=QL_MAX_DIVYIELD) const |
virtual boost::shared_ptr< SingleAssetOption > | clone () const =0 |
Protected Attributes | |
Real | underlying_ |
PlainVanillaPayoff | payoff_ |
Spread | dividendYield_ |
Rate | riskFreeRate_ |
Time | residualTime_ |
Volatility | volatility_ |
bool | hasBeenCalculated_ |
Real | rho_ |
Real | dividendRho_ |
Real | vega_ |
Real | theta_ |
bool | rhoComputed_ |
bool | dividendRhoComputed_ |
bool | vegaComputed_ |
bool | thetaComputed_ |
Static Protected Attributes | |
static const Real | dVolMultiplier_ |
static const Real | dRMultiplier_ |
Friends | |
class | VolatilityFunction |
class | DivYieldFunction |
Member Function Documentation
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