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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_single_asset_option.html">SingleAssetOption</a></div>
<h1>SingleAssetOption Class Reference</h1><!-- doxytag: class="QuantLib::SingleAssetOption" --><code>#include <ql/Pricers/singleassetoption.hpp></code>
<p>
Inheritance diagram for SingleAssetOption:<p><center><img src="class_quant_lib_1_1_single_asset_option__inherit__graph.png" border="0" usemap="#_single_asset_option__inherit__map" alt="Inheritance graph"></center>
<map name="_single_asset_option__inherit__map">
<area href="class_quant_lib_1_1_discrete_geometric_a_s_o.html" shape="rect" coords="6,81,182,105" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_single_asset_option-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Black-Scholes-Merton option.
<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="efc493a889330f41ddeddf0e2cc955ad"></a><!-- doxytag: member="QuantLib::SingleAssetOption::SingleAssetOption" ref="efc493a889330f41ddeddf0e2cc955ad" args="(Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility)" -->
</td><td class="memItemRight" valign="bottom"><b>SingleAssetOption</b> (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1061fbb9f45ac1c7af95ef56a1096e5a"></a><!-- doxytag: member="QuantLib::SingleAssetOption::setVolatility" ref="1061fbb9f45ac1c7af95ef56a1096e5a" args="(Volatility newVolatility)" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>setVolatility</b> (Volatility newVolatility)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4d2052a4d8fda16c44265064beac30ec"></a><!-- doxytag: member="QuantLib::SingleAssetOption::setRiskFreeRate" ref="4d2052a4d8fda16c44265064beac30ec" args="(Rate newRate)" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>setRiskFreeRate</b> (Rate newRate)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="830fc3a7b819d8cce5d31aa7a20a4d6f"></a><!-- doxytag: member="QuantLib::SingleAssetOption::setDividendYield" ref="830fc3a7b819d8cce5d31aa7a20a4d6f" args="(Rate newDividendYield)" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>setDividendYield</b> (Rate newDividendYield)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2aa60dccb6b43d8533a4007394b60519"></a><!-- doxytag: member="QuantLib::SingleAssetOption::value" ref="2aa60dccb6b43d8533a4007394b60519" args="() const=0" -->
virtual Real </td><td class="memItemRight" valign="bottom"><b>value</b> () const=0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9e522503f44646ca2fcaefe106183ed9"></a><!-- doxytag: member="QuantLib::SingleAssetOption::delta" ref="9e522503f44646ca2fcaefe106183ed9" args="() const=0" -->
virtual Real </td><td class="memItemRight" valign="bottom"><b>delta</b> () const=0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d5b9d48721453180aa870b5ba5ba5240"></a><!-- doxytag: member="QuantLib::SingleAssetOption::gamma" ref="d5b9d48721453180aa870b5ba5ba5240" args="() const=0" -->
virtual Real </td><td class="memItemRight" valign="bottom"><b>gamma</b> () const=0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="42bc45e3d3b98aa73c16dc1ccb4c37cd"></a><!-- doxytag: member="QuantLib::SingleAssetOption::theta" ref="42bc45e3d3b98aa73c16dc1ccb4c37cd" args="() const" -->
virtual 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="833930bf904320f6dc43b0d0339c51f7"></a><!-- doxytag: member="QuantLib::SingleAssetOption::vega" ref="833930bf904320f6dc43b0d0339c51f7" args="() const" -->
virtual 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="df6d08af6a16cfa23439784e19ca7d37"></a><!-- doxytag: member="QuantLib::SingleAssetOption::rho" ref="df6d08af6a16cfa23439784e19ca7d37" args="() const" -->
virtual 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="2c102d8d3fcf3626c8cd79e524b6e5f6"></a><!-- doxytag: member="QuantLib::SingleAssetOption::dividendRho" ref="2c102d8d3fcf3626c8cd79e524b6e5f6" args="() const" -->
virtual Real </td><td class="memItemRight" valign="bottom"><b>dividendRho</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">Volatility </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_single_asset_option.html#b96ee1ae23ce91c595c8b809d3e6af45">impliedVolatility</a> (Real targetValue, Real accuracy=1e-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"><a class="anchor" name="c2e4ea3f91532a87a5334de3a4ef785a"></a><!-- doxytag: member="QuantLib::SingleAssetOption::impliedDivYield" ref="c2e4ea3f91532a87a5334de3a4ef785a" args="(Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Spread minYield=QL_MIN_DIVYIELD, Spread maxYield=QL_MAX_DIVYIELD) const" -->
Spread </td><td class="memItemRight" valign="bottom"><b>impliedDivYield</b> (Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Spread minYield=QL_MIN_DIVYIELD, Spread maxYield=QL_MAX_DIVYIELD) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="41fc01a8c43479e44e6f7f5b44818a07"></a><!-- doxytag: member="QuantLib::SingleAssetOption::clone" ref="41fc01a8c43479e44e6f7f5b44818a07" args="() const=0" -->
virtual boost::shared_ptr<<br>
<a class="el" href="class_quant_lib_1_1_single_asset_option.html">SingleAssetOption</a> > </td><td class="memItemRight" valign="bottom"><b>clone</b> () const=0</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="1deb504c407b8acc131199b0ca715149"></a><!-- doxytag: member="QuantLib::SingleAssetOption::underlying_" ref="1deb504c407b8acc131199b0ca715149" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>underlying_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3d1dc98279327e77c9533ea3e9b62093"></a><!-- doxytag: member="QuantLib::SingleAssetOption::payoff_" ref="3d1dc98279327e77c9533ea3e9b62093" args="" -->
<a class="el" href="class_quant_lib_1_1_plain_vanilla_payoff.html">PlainVanillaPayoff</a> </td><td class="memItemRight" valign="bottom"><b>payoff_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6f3d80bce68d36679b23fd2cc8ebeb8c"></a><!-- doxytag: member="QuantLib::SingleAssetOption::dividendYield_" ref="6f3d80bce68d36679b23fd2cc8ebeb8c" args="" -->
Spread </td><td class="memItemRight" valign="bottom"><b>dividendYield_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="23e85ebc743727986f3aa95186cb10bc"></a><!-- doxytag: member="QuantLib::SingleAssetOption::riskFreeRate_" ref="23e85ebc743727986f3aa95186cb10bc" args="" -->
Rate </td><td class="memItemRight" valign="bottom"><b>riskFreeRate_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0d0f0c361ceea9654b6b38a10e370ecc"></a><!-- doxytag: member="QuantLib::SingleAssetOption::residualTime_" ref="0d0f0c361ceea9654b6b38a10e370ecc" args="" -->
Time </td><td class="memItemRight" valign="bottom"><b>residualTime_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ffafcc6e56e72b677c7afa126e18a595"></a><!-- doxytag: member="QuantLib::SingleAssetOption::volatility_" ref="ffafcc6e56e72b677c7afa126e18a595" args="" -->
Volatility </td><td class="memItemRight" valign="bottom"><b>volatility_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9381b7f7217cd37ab3e5dd0952abb647"></a><!-- doxytag: member="QuantLib::SingleAssetOption::hasBeenCalculated_" ref="9381b7f7217cd37ab3e5dd0952abb647" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>hasBeenCalculated_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="98f57706bc57f4e14ca8c8cb1cfa213b"></a><!-- doxytag: member="QuantLib::SingleAssetOption::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::SingleAssetOption::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="7c212193f9c0fd38b46c202f42e9ec5b"></a><!-- doxytag: member="QuantLib::SingleAssetOption::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="5ca0ebc8ec96d11c5542cd549f01db16"></a><!-- doxytag: member="QuantLib::SingleAssetOption::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="30c12d2822efba15d3a6ea0303807fda"></a><!-- doxytag: member="QuantLib::SingleAssetOption::rhoComputed_" ref="30c12d2822efba15d3a6ea0303807fda" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>rhoComputed_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1a449a547ed143ae753c3aeb01ed1e18"></a><!-- doxytag: member="QuantLib::SingleAssetOption::dividendRhoComputed_" ref="1a449a547ed143ae753c3aeb01ed1e18" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>dividendRhoComputed_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa823d9fed17a8340d625cf723b2ad5d"></a><!-- doxytag: member="QuantLib::SingleAssetOption::vegaComputed_" ref="fa823d9fed17a8340d625cf723b2ad5d" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>vegaComputed_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2eebab635c93103ae21913c63de66fec"></a><!-- doxytag: member="QuantLib::SingleAssetOption::thetaComputed_" ref="2eebab635c93103ae21913c63de66fec" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>thetaComputed_</b></td></tr>
<tr><td colspan="2"><br><h2>Static Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2faaea01dbc468ab85573d47a75de438"></a><!-- doxytag: member="QuantLib::SingleAssetOption::dVolMultiplier_" ref="2faaea01dbc468ab85573d47a75de438" args="" -->
static const Real </td><td class="memItemRight" valign="bottom"><b>dVolMultiplier_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e25d386ed6fe1d2853a5f8f0a2d120e2"></a><!-- doxytag: member="QuantLib::SingleAssetOption::dRMultiplier_" ref="e25d386ed6fe1d2853a5f8f0a2d120e2" args="" -->
static const Real </td><td class="memItemRight" valign="bottom"><b>dRMultiplier_</b></td></tr>
<tr><td colspan="2"><br><h2>Friends</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9104d6a7866396da80dcf665745e74d1"></a><!-- doxytag: member="QuantLib::SingleAssetOption::VolatilityFunction" ref="9104d6a7866396da80dcf665745e74d1" args="" -->
class </td><td class="memItemRight" valign="bottom"><b>VolatilityFunction</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="42122f73d11e278ea837625aeb78ff7c"></a><!-- doxytag: member="QuantLib::SingleAssetOption::DivYieldFunction" ref="42122f73d11e278ea837625aeb78ff7c" args="" -->
class </td><td class="memItemRight" valign="bottom"><b>DivYieldFunction</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="b96ee1ae23ce91c595c8b809d3e6af45"></a><!-- doxytag: member="QuantLib::SingleAssetOption::impliedVolatility" ref="b96ee1ae23ce91c595c8b809d3e6af45" args="(Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">Volatility impliedVolatility </td>
<td>(</td>
<td class="paramtype">Real </td>
<td class="paramname"> <em>targetValue</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Real </td>
<td class="paramname"> <em>accuracy</em> = <code>1e-4</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Size </td>
<td class="paramname"> <em>maxEvaluations</em> = <code>100</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Volatility </td>
<td class="paramname"> <em>minVol</em> = <code>QL_MIN_VOLATILITY</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Volatility </td>
<td class="paramname"> <em>maxVol</em> = <code>QL_MAX_VOLATILITY</code></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const</td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000066">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 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. </dd></dl>
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