AnalyticDividendEuropeanEngine Class Reference
[Vanilla option engines]

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

Inheritance diagram for AnalyticDividendEuropeanEngine:

List of all members.


Detailed Description

Analytic pricing engine for European options with discrete dividends.

Tests:
the correctness of the returned greeks is tested by reproducing numerical derivatives.

Public Member Functions

 AnalyticDividendEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
void calculate () const