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<title>QuantLib: VanillaOption Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_vanilla_option.html">VanillaOption</a></div>
<h1>VanillaOption Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::VanillaOption" --><!-- doxytag: inherits="QuantLib::OneAssetOption" --><code>#include <ql/instruments/vanillaoption.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for VanillaOption:</div>
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<p><center><img src="class_quant_lib_1_1_vanilla_option__inherit__graph.png" border="0" usemap="#_vanilla_option__inherit__map" alt="Inheritance graph"></center>
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<area shape="rect" href="class_quant_lib_1_1_european_option.html" title="European option on a single asset." alt="" coords="5,161,131,188"><area shape="rect" href="class_quant_lib_1_1_one_asset_option.html" title="Base class for options on a single asset." alt="" coords="5,7,131,33"></map>
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<a href="class_quant_lib_1_1_vanilla_option-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Vanilla option (no discrete dividends, no barriers) on a single asset.
<p>
<dl compact><dt><b>Examples: </b></dt><dd>
<p>
<a class="el" href="_equity_option_8cpp-example.html#_a22">EquityOption.cpp</a>.</dl><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="b547123a460c3153e3b668bb0d424073"></a><!-- doxytag: member="QuantLib::VanillaOption::VanillaOption" ref="b547123a460c3153e3b668bb0d424073" args="(const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &)" -->
</td><td class="memItemRight" valign="bottom"><b>VanillaOption</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_exercise.html">Exercise</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_vanilla_option.html#95c0837ce9c4bcc4cb9b9ff975f3bfe1">impliedVolatility</a> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> price, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &process, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const </td></tr>
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<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="95c0837ce9c4bcc4cb9b9ff975f3bfe1"></a><!-- doxytag: member="QuantLib::VanillaOption::impliedVolatility" ref="95c0837ce9c4bcc4cb9b9ff975f3bfe1" args="(Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) 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"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>price</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > & </td>
<td class="paramname"> <em>process</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>accuracy</em> = <code>1.0e-4</code>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </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>1.0e-7</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>maxVol</em> = <code>4.0</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#_caveats000046">Warning:</a></b></dt><dd>currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. 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#_caveats000046">Warning:</a></b></dt><dd>options with a gamma that changes sign (e.g., binary options) have values that are <b>not</b> monotonic in the volatility. 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>
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