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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_one_asset_option.html">OneAssetOption</a></div>
<h1>OneAssetOption Class Reference</h1><!-- doxytag: class="QuantLib::OneAssetOption" --><!-- doxytag: inherits="QuantLib::Option" --><code>#include <ql/Instruments/oneassetoption.hpp></code>
<p>
Inheritance diagram for OneAssetOption:<p><center><img src="class_quant_lib_1_1_one_asset_option__inherit__graph.png" border="0" usemap="#_one_asset_option__inherit__map" alt="Inheritance graph"></center>
<map name="_one_asset_option__inherit__map">
<area href="class_quant_lib_1_1_continuous_floating_lookback_option.html" shape="rect" coords="6,156,267,180" alt="">
<area href="class_quant_lib_1_1_one_asset_striked_option.html" shape="rect" coords="291,156,470,180" alt="">
<area href="class_quant_lib_1_1_option.html" shape="rect" coords="224,7,291,31" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_one_asset_option-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Base class for options on a single asset.
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="50763495f54905f2615db3d6f553bb78"></a><!-- doxytag: member="QuantLib::OneAssetOption::OneAssetOption" ref="50763495f54905f2615db3d6f553bb78" args="(const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())" -->
</td><td class="memItemRight" valign="bottom"><b>OneAssetOption</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_payoff.html">Payoff</a> > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_exercise.html">Exercise</a> > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > &engine=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> >())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_asset_option.html#26a34df10355e17117fab1700a54fd46">impliedVolatility</a> (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_asset_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">setupArguments</a> (<a class="el" href="class_quant_lib_1_1_arguments.html">Arguments</a> *) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_asset_option.html#c09d03fe142ca309b1927896da95754c">fetchResults</a> (const <a class="el" href="class_quant_lib_1_1_results.html">Results</a> *) const</td></tr>
<tr><td colspan="2"><div class="groupHeader">Instrument interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="72b04552f657bbfa9384c3c6139a7725"></a><!-- doxytag: member="QuantLib::OneAssetOption::isExpired" ref="72b04552f657bbfa9384c3c6139a7725" args="() const" -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_asset_option.html#72b04552f657bbfa9384c3c6139a7725">isExpired</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument is still tradable. <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">greeks</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="397f8534c2b3d08642e5040c40426ab7"></a><!-- doxytag: member="QuantLib::OneAssetOption::delta" ref="397f8534c2b3d08642e5040c40426ab7" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>delta</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d1aeee7c18b44d616b3c8169ebb9611a"></a><!-- doxytag: member="QuantLib::OneAssetOption::deltaForward" ref="d1aeee7c18b44d616b3c8169ebb9611a" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>deltaForward</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3279751aa21dd6b1bbb01f26d47dc115"></a><!-- doxytag: member="QuantLib::OneAssetOption::elasticity" ref="3279751aa21dd6b1bbb01f26d47dc115" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>elasticity</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="aed679bde0c499002fce41342891b61d"></a><!-- doxytag: member="QuantLib::OneAssetOption::gamma" ref="aed679bde0c499002fce41342891b61d" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>gamma</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="211532127d83c15b17647a043e9efd36"></a><!-- doxytag: member="QuantLib::OneAssetOption::theta" ref="211532127d83c15b17647a043e9efd36" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>theta</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d1d1b68f98d67563701c7bf423a8160d"></a><!-- doxytag: member="QuantLib::OneAssetOption::thetaPerDay" ref="d1d1b68f98d67563701c7bf423a8160d" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>thetaPerDay</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="731619e7ed2d436cbe5eff2abffa11a0"></a><!-- doxytag: member="QuantLib::OneAssetOption::vega" ref="731619e7ed2d436cbe5eff2abffa11a0" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>vega</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="891ea127047dcd9acc1dff3dbf26e88e"></a><!-- doxytag: member="QuantLib::OneAssetOption::rho" ref="891ea127047dcd9acc1dff3dbf26e88e" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>rho</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b4a1639c3e385d85ad87e75f842e281b"></a><!-- doxytag: member="QuantLib::OneAssetOption::dividendRho" ref="b4a1639c3e385d85ad87e75f842e281b" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>dividendRho</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="52f0d80c352ce23b6009d89a828b7824"></a><!-- doxytag: member="QuantLib::OneAssetOption::itmCashProbability" ref="52f0d80c352ce23b6009d89a828b7824" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>itmCashProbability</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d4a9d9a2566434f703ca4c766d6d2aa6"></a><!-- doxytag: member="QuantLib::OneAssetOption::priceCurve" ref="d4a9d9a2566434f703ca4c766d6d2aa6" args="() const" -->
<a class="el" href="class_quant_lib_1_1_sampled_curve.html">SampledCurve</a> </td><td class="memItemRight" valign="bottom"><b>priceCurve</b> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_asset_option.html#ef24082dd24f1330f587e552a7dc4f69">setupExpired</a> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="01517fec56e5a81589c2b6f4b5681c45"></a><!-- doxytag: member="QuantLib::OneAssetOption::delta_" ref="01517fec56e5a81589c2b6f4b5681c45" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>delta_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9b669bbc739527b70836d41884503892"></a><!-- doxytag: member="QuantLib::OneAssetOption::deltaForward_" ref="9b669bbc739527b70836d41884503892" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>deltaForward_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="103d5812ee2f5850244c1d475cc16bb7"></a><!-- doxytag: member="QuantLib::OneAssetOption::elasticity_" ref="103d5812ee2f5850244c1d475cc16bb7" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>elasticity_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="88c6756db7fb1136217d5e4f3fe88885"></a><!-- doxytag: member="QuantLib::OneAssetOption::gamma_" ref="88c6756db7fb1136217d5e4f3fe88885" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>gamma_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5ca0ebc8ec96d11c5542cd549f01db16"></a><!-- doxytag: member="QuantLib::OneAssetOption::theta_" ref="5ca0ebc8ec96d11c5542cd549f01db16" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>theta_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c410d11a4e9ec30e8d15881d4c9cd515"></a><!-- doxytag: member="QuantLib::OneAssetOption::thetaPerDay_" ref="c410d11a4e9ec30e8d15881d4c9cd515" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>thetaPerDay_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7c212193f9c0fd38b46c202f42e9ec5b"></a><!-- doxytag: member="QuantLib::OneAssetOption::vega_" ref="7c212193f9c0fd38b46c202f42e9ec5b" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>vega_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="98f57706bc57f4e14ca8c8cb1cfa213b"></a><!-- doxytag: member="QuantLib::OneAssetOption::rho_" ref="98f57706bc57f4e14ca8c8cb1cfa213b" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>rho_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6c7b39d5c2301630075ba6e2b4b179db"></a><!-- doxytag: member="QuantLib::OneAssetOption::dividendRho_" ref="6c7b39d5c2301630075ba6e2b4b179db" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>dividendRho_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cd2b2c1226fed076988f92801a2688e5"></a><!-- doxytag: member="QuantLib::OneAssetOption::itmCashProbability_" ref="cd2b2c1226fed076988f92801a2688e5" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>itmCashProbability_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7aa31ebfe8bf4ea9b44b8c111c14a111"></a><!-- doxytag: member="QuantLib::OneAssetOption::priceCurve_" ref="7aa31ebfe8bf4ea9b44b8c111c14a111" args="" -->
<a class="el" href="class_quant_lib_1_1_sampled_curve.html">SampledCurve</a> </td><td class="memItemRight" valign="bottom"><b>priceCurve_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b13693a2f07ca8715b69c3249995156e"></a><!-- doxytag: member="QuantLib::OneAssetOption::stochasticProcess_" ref="b13693a2f07ca8715b69c3249995156e" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > </td><td class="memItemRight" valign="bottom"><b>stochasticProcess_</b></td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_asset_option_1_1arguments.html">arguments</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Arguments for single-asset option calculation <a href="class_quant_lib_1_1_one_asset_option_1_1arguments.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_one_asset_option_1_1results.html">results</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Results from single-asset option calculation <a href="class_quant_lib_1_1_one_asset_option_1_1results.html#_details">More...</a><br></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="26a34df10355e17117fab1700a54fd46"></a><!-- doxytag: member="QuantLib::OneAssetOption::impliedVolatility" ref="26a34df10355e17117fab1700a54fd46" args="(Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const" -->
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<td class="memname"><a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> impliedVolatility </td>
<td>(</td>
<td class="paramtype">Real </td>
<td class="paramname"> <em>price</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Real </td>
<td class="paramname"> <em>accuracy</em> = <code>1.0e-4</code>, </td>
</tr>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">Size </td>
<td class="paramname"> <em>maxEvaluations</em> = <code>100</code>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td>
<td class="paramname"> <em>minVol</em> = <code>QL_MIN_VOLATILITY</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td>
<td class="paramname"> <em>maxVol</em> = <code>QL_MAX_VOLATILITY</code></td><td> </td>
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<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const</td>
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<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000052">Warning:</a></b></dt><dd>currently, this method returns the Black-Scholes implied volatility. It will give unconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.) </dd></dl>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000052">Warning:</a></b></dt><dd>options with a gamma that changes sign have values that are <b>not</b> monotonic in the volatility, e.g binary options. In these cases the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.</dd></dl>
</div>
</div><p>
<a class="anchor" name="5343dd1b4e84eb46141f7e3fdd87eb15"></a><!-- doxytag: member="QuantLib::OneAssetOption::setupArguments" ref="5343dd1b4e84eb46141f7e3fdd87eb15" args="(Arguments *) const" -->
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<td class="memname">void setupArguments </td>
<td>(</td>
<td class="paramtype"><a class="el" href="class_quant_lib_1_1_arguments.html">Arguments</a> * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
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When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
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Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#5343dd1b4e84eb46141f7e3fdd87eb15">Instrument</a>.
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Reimplemented in <a class="el" href="class_quant_lib_1_1_continuous_averaging_asian_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">ContinuousAveragingAsianOption</a>, <a class="el" href="class_quant_lib_1_1_discrete_averaging_asian_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">DiscreteAveragingAsianOption</a>, <a class="el" href="class_quant_lib_1_1_barrier_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">BarrierOption</a>, <a class="el" href="class_quant_lib_1_1_cliquet_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">CliquetOption</a>, <a class="el" href="class_quant_lib_1_1_dividend_vanilla_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">DividendVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_forward_vanilla_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">ForwardVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_continuous_floating_lookback_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">ContinuousFloatingLookbackOption</a>, <a class="el" href="class_quant_lib_1_1_continuous_fixed_lookback_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">ContinuousFixedLookbackOption</a>, <a class="el" href="class_quant_lib_1_1_one_asset_striked_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">OneAssetStrikedOption</a>, <a class="el" href="class_quant_lib_1_1_quanto_forward_vanilla_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">QuantoForwardVanillaOption</a>, and <a class="el" href="class_quant_lib_1_1_quanto_vanilla_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">QuantoVanillaOption</a>.
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<a class="anchor" name="c09d03fe142ca309b1927896da95754c"></a><!-- doxytag: member="QuantLib::OneAssetOption::fetchResults" ref="c09d03fe142ca309b1927896da95754c" args="(const Results *) const" -->
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<td class="memname">void fetchResults </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_results.html">Results</a> * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
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When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
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Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#c09d03fe142ca309b1927896da95754c">Instrument</a>.
<p>
Reimplemented in <a class="el" href="class_quant_lib_1_1_forward_vanilla_option.html#c09d03fe142ca309b1927896da95754c">ForwardVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_one_asset_striked_option.html#c09d03fe142ca309b1927896da95754c">OneAssetStrikedOption</a>, and <a class="el" href="class_quant_lib_1_1_quanto_vanilla_option.html#c09d03fe142ca309b1927896da95754c">QuantoVanillaOption</a>.
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<a class="anchor" name="ef24082dd24f1330f587e552a7dc4f69"></a><!-- doxytag: member="QuantLib::OneAssetOption::setupExpired" ref="ef24082dd24f1330f587e552a7dc4f69" args="() const" -->
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<td class="memname">void setupExpired </td>
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This method must leave the instrument in a consistent state when the expiration condition is met.
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Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#ef24082dd24f1330f587e552a7dc4f69">Instrument</a>.
<p>
Reimplemented in <a class="el" href="class_quant_lib_1_1_one_asset_striked_option.html#ef24082dd24f1330f587e552a7dc4f69">OneAssetStrikedOption</a>, and <a class="el" href="class_quant_lib_1_1_quanto_vanilla_option.html#ef24082dd24f1330f587e552a7dc4f69">QuantoVanillaOption</a>.
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