AnalyticEuropeanEngine Class Reference
[Vanilla option engines]

#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>

Inheritance diagram for AnalyticEuropeanEngine:

Inheritance graph
[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:

EquityOption.cpp.


Public Member Functions

void calculate () const