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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<!-- doxytag: class="QuantLib::VanillaOption" --><!-- doxytag: inherits="QuantLib::OneAssetOption" -->
<p>Vanilla option (no discrete dividends, no barriers) on a single asset.
<a href="class_quant_lib_1_1_vanilla_option.html#details">More...</a></p>
<p><code>#include <ql/instruments/vanillaoption.hpp></code></p>
<div class="dynheader">
Inheritance diagram for VanillaOption:</div>
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<area shape="rect" id="node5" href="class_quant_lib_1_1_european_option.html" title="European option on a single asset." alt="" coords="7,166,121,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_one_asset_option.html" title="Base class for options on a single asset." alt="" coords="5,6,123,37"/></map>
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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="ab547123a460c3153e3b668bb0d424073"></a><!-- doxytag: member="QuantLib::VanillaOption::VanillaOption" ref="ab547123a460c3153e3b668bb0d424073" 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" align="right" valign="top"><a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vanilla_option.html#a95c0837ce9c4bcc4cb9b9ff975f3bfe1">impliedVolatility</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">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#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Vanilla option (no discrete dividends, no barriers) on a single asset. </p>
<dl><dt><b>Examples: </b></dt><dd><a class="el" href="_equity_option_8cpp-example.html#_a25">EquityOption.cpp</a>.</dd>
</dl></div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a95c0837ce9c4bcc4cb9b9ff975f3bfe1"></a><!-- doxytag: member="QuantLib::VanillaOption::impliedVolatility" ref="a95c0837ce9c4bcc4cb9b9ff975f3bfe1" 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#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> <a class="el" href="class_quant_lib_1_1_vanilla_option.html#a95c0837ce9c4bcc4cb9b9ff975f3bfe1">impliedVolatility</a> </td>
<td>(</td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>price</em>, </td>
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<tr>
<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>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>accuracy</em> = <code>1.0e-4</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>maxEvaluations</em> = <code>100</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td>
<td class="paramname"><em>minVol</em> = <code>1.0e-7</code>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td>
<td class="paramname"><em>maxVol</em> = <code>4.0</code> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const</td>
</tr>
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<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000060">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 class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000061">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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