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<h1>Vanilla option engines<br>
<small>
[<a class="el" href="group__engines.html">Pricing engines</a>]</small>
</h1><hr><a name="_details"></a><h2>Detailed Description</h2>
<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_b_s_m_hull_white_engine.html">AnalyticBSMHullWhiteEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">analytic european option pricer including stochastic interest rates <a href="class_quant_lib_1_1_analytic_b_s_m_hull_white_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_digital_american_engine.html">AnalyticDigitalAmericanEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Analytic pricing engine for American vanilla options with digital payoff. <a href="class_quant_lib_1_1_analytic_digital_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_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_analytic_heston_hull_white_engine.html">AnalyticHestonHullWhiteEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Analytic Heston engine incl. stochastic interest rates. <a href="class_quant_lib_1_1_analytic_heston_hull_white_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="mdescLeft"> </td><td class="mdescRight">Barone-Adesi and Whaley pricing engine for American options (1987). <a href="class_quant_lib_1_1_barone_adesi_whaley_approximation_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_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="mdescLeft"> </td><td class="mdescRight">Bjerksund and Stensland pricing engine for American options (1993). <a href="class_quant_lib_1_1_bjerksund_stensland_approximation_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_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 engine for dividend options using shifted dividends. <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_f_d_vanilla_engine.html">FDVanillaEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Finite-differences pricing engine for BSM one asset options. <a href="class_quant_lib_1_1_f_d_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_integral_engine.html">IntegralEngine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Pricing engine for European vanilla options using integral approach. <a href="class_quant_lib_1_1_integral_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_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="mdescLeft"> </td><td class="mdescRight">Pricing engine for American options with Ju quadratic approximation. <a href="class_quant_lib_1_1_ju_quadratic_approximation_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_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<br>
< 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<br>
< FDAmericanCondition<br>
< FDDividendEngine >,<br>
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<br>
< 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<br>
< FDShoutCondition<br>
< FDDividendEngine >,<br>
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<br>
< 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="" -->
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<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#_test000105">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#a29">EquityOption.cpp</a>.</dl>
</div>
</div><p>
<a class="anchor" name="gfc82d0d231a73231fb975da19438019e"></a><!-- doxytag: member="QuantLib::FDDividendAmericanEngine" ref="gfc82d0d231a73231fb975da19438019e" args="" -->
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<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#_test000106">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#_bug000009">Bug:</a></b></dt><dd>results are not overly reliable. </dd></dl>
<dl compact><dt><b><a class="el" href="bug.html#_bug000009">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="" -->
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<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#_test000107">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="" -->
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<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#_bug000011">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="" -->
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<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#_test000109">Tests:</a></b></dt><dd>the correctness of the returned greeks is tested by reproducing numerical derivatives. </dd></dl>
</div>
</div><p>
</div>
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