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<title>BaroneAdesiWhaleyApproximationEngine Class Reference</title>
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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_barone_adesi_whaley_approximation_engine.html">BaroneAdesiWhaleyApproximationEngine</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="#pub-static-methods">Static Public Member Functions</a> </div>
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<div class="title">BaroneAdesiWhaleyApproximationEngine Class Reference<div class="ingroups"><a class="el" href="group__vanillaengines.html">Vanilla option engines</a></div></div> </div>
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<!-- doxytag: class="QuantLib::BaroneAdesiWhaleyApproximationEngine" --><!-- doxytag: inherits="VanillaOption::engine" -->
<p>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></p>
<p><code>#include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp></code></p>
<p>Inherits engine.</p>
<p><a href="class_quant_lib_1_1_barone_adesi_whaley_approximation_engine-members.html">List of all members.</a></p>
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<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af2bac5403ba35d337fa1ec9fdfc77b42"></a><!-- doxytag: member="QuantLib::BaroneAdesiWhaleyApproximationEngine::BaroneAdesiWhaleyApproximationEngine" ref="af2bac5403ba35d337fa1ec9fdfc77b42" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &)" -->
 </td><td class="memItemRight" valign="bottom"><b>BaroneAdesiWhaleyApproximationEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::BaroneAdesiWhaleyApproximationEngine::calculate" ref="a10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pub-static-methods"></a>
Static Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a83d913a20019f285a302512dfd934bb0"></a><!-- doxytag: member="QuantLib::BaroneAdesiWhaleyApproximationEngine::criticalPrice" ref="a83d913a20019f285a302512dfd934bb0" args="(const boost::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6)" -->
static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>criticalPrice</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_striked_type_payoff.html">StrikedTypePayoff</a> > &payoff, <a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> riskFreeDiscount, <a class="el" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> dividendDiscount, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> variance, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> tolerance=1e-6)</td></tr>
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<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Barone-Adesi and Whaley pricing engine for American options (1987) </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000118">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in literature. </dd></dl>
<dl><dt><b>Examples: </b></dt><dd><a class="el" href="_equity_option_8cpp-example.html#_a33">EquityOption.cpp</a>.</dd>
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