1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: Vanilla option engines</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<h1>Vanilla option engines<br>
<small>
[<a class="el" href="group__engines.html">Pricing engines</a>]</small>
</h1>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></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_analytic_digital_american_engine.html">AnalyticDigitalAmericanEngine</a></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_analytic_dividend_european_engine.html">AnalyticDividendEuropeanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Analytic pricing engine for European options with discrete dividends. <a href="class_quant_lib_1_1_analytic_dividend_european_engine.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_analytic_european_engine.html">AnalyticEuropeanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for European vanilla options using analytical formulae. <a href="class_quant_lib_1_1_analytic_european_engine.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_analytic_heston_engine.html">AnalyticHestonEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">analytic Heston-model engine based on Fourier transform <a href="class_quant_lib_1_1_analytic_heston_engine.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_barone_adesi_whaley_approximation_engine.html">BaroneAdesiWhaleyApproximationEngine</a></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_bates_engine.html">BatesEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Bates model engines based on Fourier transform. <a href="class_quant_lib_1_1_bates_engine.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_binomial_vanilla_engine.html">BinomialVanillaEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for vanilla options using binomial trees. <a href="class_quant_lib_1_1_binomial_vanilla_engine.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_bjerksund_stensland_approximation_engine.html">BjerksundStenslandApproximationEngine</a></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_f_d_bermudan_engine.html">FDBermudanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences Bermudan engine. <a href="class_quant_lib_1_1_f_d_bermudan_engine.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_f_d_dividend_engine_merton73.html">FDDividendEngineMerton73</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for dividend options using. <a href="class_quant_lib_1_1_f_d_dividend_engine_merton73.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_f_d_dividend_engine_shift_scale.html">FDDividendEngineShiftScale</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for dividend options using. <a href="class_quant_lib_1_1_f_d_dividend_engine_shift_scale.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_f_d_european_engine.html">FDEuropeanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for European options using finite-differences. <a href="class_quant_lib_1_1_f_d_european_engine.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_f_d_step_condition_engine.html">FDStepConditionEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for American-style vanilla options. <a href="class_quant_lib_1_1_f_d_step_condition_engine.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_integral_engine.html">IntegralEngine</a></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_jump_diffusion_engine.html">JumpDiffusionEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Jump-diffusion engine for vanilla options. <a href="class_quant_lib_1_1_jump_diffusion_engine.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_ju_quadratic_approximation_engine.html">JuQuadraticApproximationEngine</a></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_m_c_american_engine.html">MCAmericanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">American Monte Carlo engine. <a href="class_quant_lib_1_1_m_c_american_engine.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_m_c_digital_engine.html">MCDigitalEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for digital options using Monte Carlo simulation. <a href="class_quant_lib_1_1_m_c_digital_engine.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_m_c_european_engine.html">MCEuropeanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">European option pricing engine using Monte Carlo simulation. <a href="class_quant_lib_1_1_m_c_european_engine.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_m_c_european_heston_engine.html">MCEuropeanHestonEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Monte Carlo Heston-model engine for European options. <a href="class_quant_lib_1_1_m_c_european_heston_engine.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_m_c_vanilla_engine.html">MCVanillaEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for vanilla options using Monte Carlo simulation. <a href="class_quant_lib_1_1_m_c_vanilla_engine.html#_details">More...</a><br></td></tr>
<tr><td colspan="2"><br><h2>Typedefs</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">typedef FDEngineAdapter< FDAmericanCondition<<br>
FDStepConditionEngine >,<br>
OneAssetOption::engine > </td><td class="memItemRight" valign="bottom"><a class="el" href="group__vanillaengines.html#gc71ea868d4aa32c62db60ebf89c850b4">FDAmericanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for American one asset options. <a href="#gc71ea868d4aa32c62db60ebf89c850b4"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">typedef FDEngineAdapter< FDAmericanCondition<<br>
FDDividendEngine >, DividendVanillaOption::engine > </td><td class="memItemRight" valign="bottom"><a class="el" href="group__vanillaengines.html#gfc82d0d231a73231fb975da19438019e">FDDividendAmericanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for dividend American options. <a href="#gfc82d0d231a73231fb975da19438019e"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">typedef FDEngineAdapter< FDDividendEngine,<br>
DividendVanillaOption::engine > </td><td class="memItemRight" valign="bottom"><a class="el" href="group__vanillaengines.html#g334ef6df98f62dc8421dee91ef65d351">FDDividendEuropeanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for dividend European options. <a href="#g334ef6df98f62dc8421dee91ef65d351"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">typedef FDEngineAdapter< FDShoutCondition<<br>
FDDividendEngine >, DividendVanillaOption::engine > </td><td class="memItemRight" valign="bottom"><a class="el" href="group__vanillaengines.html#g3aea55bd75939a59d9c811d13b2255ca">FDDividendShoutEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences shout engine with dividends. <a href="#g3aea55bd75939a59d9c811d13b2255ca"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">typedef FDEngineAdapter< FDShoutCondition<<br>
FDStepConditionEngine >,<br>
VanillaOption::engine > </td><td class="memItemRight" valign="bottom"><a class="el" href="group__vanillaengines.html#g69a570dc7b14b7cca1669a500fc54a13">FDShoutEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for shout vanilla options. <a href="#g69a570dc7b14b7cca1669a500fc54a13"></a><br></td></tr>
</table>
<hr><h2>Typedef Documentation</h2>
<a class="anchor" name="gc71ea868d4aa32c62db60ebf89c850b4"></a><!-- doxytag: member="QuantLib::FDAmericanEngine" ref="gc71ea868d4aa32c62db60ebf89c850b4" args="" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">typedef FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>, OneAssetOption::engine> FDAmericanEngine </td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Finite-differences pricing engine for American one asset options.
<p>
<dl compact><dt><b><a class="el" href="test.html#_test000089">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned value is tested by reproducing results available in literature.</li><li>the correctness of the returned greeks is tested by reproducing numerical derivatives. </li></ul>
</dd></dl>
<dl compact><dt><b>Examples: </b></dt><dd>
<a class="el" href="_equity_option_8cpp-example.html#a28">EquityOption.cpp</a>.</dl>
</div>
</div><p>
<a class="anchor" name="gfc82d0d231a73231fb975da19438019e"></a><!-- doxytag: member="QuantLib::FDDividendAmericanEngine" ref="gfc82d0d231a73231fb975da19438019e" args="" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">typedef FDEngineAdapter<FDAmericanCondition<FDDividendEngine>, DividendVanillaOption::engine> FDDividendAmericanEngine </td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Finite-differences pricing engine for dividend American options.
<p>
<dl compact><dt><b><a class="el" href="test.html#_test000090">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned greeks is tested by reproducing numerical derivatives.</li><li>the invariance of the results upon addition of null dividends is tested.</li></ul>
</dd></dl>
<dl compact><dt><b><a class="el" href="bug.html#_bug000003">Bug:</a></b></dt><dd>results are not overly reliable. </dd></dl>
<dl compact><dt><b><a class="el" href="bug.html#_bug000003">Bug:</a></b></dt><dd>method impliedVolatility() utterly fails </dd></dl>
</div>
</div><p>
<a class="anchor" name="g334ef6df98f62dc8421dee91ef65d351"></a><!-- doxytag: member="QuantLib::FDDividendEuropeanEngine" ref="g334ef6df98f62dc8421dee91ef65d351" args="" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">typedef FDEngineAdapter<FDDividendEngine, DividendVanillaOption::engine> FDDividendEuropeanEngine </td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Finite-differences pricing engine for dividend European options.
<p>
<dl compact><dt><b><a class="el" href="test.html#_test000091">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned greeks is tested by reproducing numerical derivatives.</li><li>the invariance of the results upon addition of null dividends is tested. </li></ul>
</dd></dl>
</div>
</div><p>
<a class="anchor" name="g3aea55bd75939a59d9c811d13b2255ca"></a><!-- doxytag: member="QuantLib::FDDividendShoutEngine" ref="g3aea55bd75939a59d9c811d13b2255ca" args="" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">typedef FDEngineAdapter<FDShoutCondition<FDDividendEngine>, DividendVanillaOption::engine> FDDividendShoutEngine </td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Finite-differences shout engine with dividends.
<p>
<dl compact><dt><b><a class="el" href="bug.html#_bug000005">Bug:</a></b></dt><dd>results are not overly reliable. </dd></dl>
</div>
</div><p>
<a class="anchor" name="g69a570dc7b14b7cca1669a500fc54a13"></a><!-- doxytag: member="QuantLib::FDShoutEngine" ref="g69a570dc7b14b7cca1669a500fc54a13" args="" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">typedef FDEngineAdapter<FDShoutCondition<FDStepConditionEngine>, VanillaOption::engine> FDShoutEngine </td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Finite-differences pricing engine for shout vanilla options.
<p>
<dl compact><dt><b><a class="el" href="test.html#_test000093">Tests:</a></b></dt><dd>the correctness of the returned greeks is tested by reproducing numerical derivatives. </dd></dl>
</div>
</div><p>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
