AnalyticEuropeanEngine Class Reference
[Vanilla option engines]
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
Inherits VanillaOption::engine.
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:
Public Member Functions | |
AnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) | |
void | calculate () const |