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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_analytic_european_engine.html">AnalyticEuropeanEngine</a></li> </ul>
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<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_analytic_european_engine-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">AnalyticEuropeanEngine Class Reference<div class="ingroups"><a class="el" href="group__engines.html">Pricing engines</a> » <a class="el" href="group__vanillaengines.html">Vanilla option engines</a></div></div> </div>
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<p>Pricing engine for European vanilla options using analytical formulae.
<a href="class_quant_lib_1_1_analytic_european_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp></code></p>
<p>Inherits engine.</p>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:aee09bceb3a6a51ccbf13bc173e21a7cd"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_european_engine.html#aee09bceb3a6a51ccbf13bc173e21a7cd">AnalyticEuropeanEngine</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &)</td></tr>
<tr class="separator:aee09bceb3a6a51ccbf13bc173e21a7cd"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1872cbb5e93cba134af10335cbdf7309"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_analytic_european_engine.html#a1872cbb5e93cba134af10335cbdf7309">AnalyticEuropeanEngine</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &process, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Pricing engine for European vanilla options using analytical formulae. </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000125">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 results available in literature.</li>
<li>the correctness of the returned greeks is tested by reproducing numerical derivatives.</li>
<li>the correctness of the returned implied volatility is tested by using it for reproducing the target value.</li>
<li>the implied-volatility calculation is tested by checking that it does not modify the option.</li>
<li>the correctness of the returned value in case of cash-or-nothing digital payoff is tested by reproducing results available in literature.</li>
<li>the correctness of the returned value in case of asset-or-nothing digital payoff is tested by reproducing results available in literature.</li>
<li>the correctness of the returned value in case of gap digital payoff is tested by reproducing results available in literature.</li>
<li>the correctness of the returned greeks in case of cash-or-nothing digital payoff is tested by reproducing numerical derivatives. </li>
</ul>
</dd></dl>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_equity_option_8cpp-example.html#_a24">EquityOption.cpp</a>, and <a class="el" href="_replication_8cpp-example.html#_a16">Replication.cpp</a>.</dd>
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</div><h2 class="groupheader">Constructor & Destructor Documentation</h2>
<a id="aee09bceb3a6a51ccbf13bc173e21a7cd"></a>
<h2 class="memtitle"><span class="permalink"><a href="#aee09bceb3a6a51ccbf13bc173e21a7cd">◆ </a></span>AnalyticEuropeanEngine() <span class="overload">[1/2]</span></h2>
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<td class="memname"><a class="el" href="class_quant_lib_1_1_analytic_european_engine.html">AnalyticEuropeanEngine</a> </td>
<td>(</td>
<td class="paramtype">const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > & </td>
<td class="paramname"></td><td>)</td>
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<span class="mlabels"><span class="mlabel">explicit</span></span> </td>
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<p>This constructor triggers the usual calculation, in which the risk-free rate in the given process is used for both forecasting and discounting. </p>
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<a id="a1872cbb5e93cba134af10335cbdf7309"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a1872cbb5e93cba134af10335cbdf7309">◆ </a></span>AnalyticEuropeanEngine() <span class="overload">[2/2]</span></h2>
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<td class="memname"><a class="el" href="class_quant_lib_1_1_analytic_european_engine.html">AnalyticEuropeanEngine</a> </td>
<td>(</td>
<td class="paramtype">const ext::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>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td>
<td class="paramname"><em>discountCurve</em> </td>
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<td>)</td>
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<p>This constructor allows to use a different term structure for discounting the payoff. As usual, the risk-free rate from the given process is used for forecasting the forward price. </p>
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