SingleAssetOption Class Reference
#include <ql/legacy/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=1.0e-7, Volatility maxVol=4.0) const |
Spread | impliedDivYield (Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Spread minYield=1.0e-7, Spread maxYield=4.0) 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
Volatility impliedVolatility | ( | Real | targetValue, | |
Real | accuracy = 1e-4 , |
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Size | maxEvaluations = 100 , |
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Volatility | minVol = 1.0e-7 , |
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Volatility | maxVol = 4.0 | |||
) | const |
- Warning:
- Options with a gamma that changes sign have values that are not monotonic in the volatility, e.g binary options. In these cases impliedVolatility can fail and in any case is meaningless. Another possible source of failure is to have a targetValue that is not attainable with any volatility, e.g. a targetValue lower than the intrinsic value in the case of American options.