SingleAssetOption Class Reference
#include <ql/Pricers/singleassetoption.hpp>
Inheritance diagram for SingleAssetOption:
Detailed Description
Black-Scholes-Merton option.
Public Member Functions | |
| SingleAssetOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility) | |
| virtual void | setVolatility (Volatility newVolatility) |
| virtual void | setRiskFreeRate (Rate newRate) |
| virtual void | setDividendYield (Rate newDividendYield) |
| virtual Real | value () const =0 |
| virtual Real | delta () const =0 |
| virtual Real | gamma () const =0 |
| virtual Real | theta () const |
| virtual Real | vega () const |
| virtual Real | rho () const |
| virtual Real | dividendRho () const |
| Volatility | impliedVolatility (Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const |
| Spread | impliedDivYield (Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Spread minYield=QL_MIN_DIVYIELD, Spread maxYield=QL_MAX_DIVYIELD) const |
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virtual boost::shared_ptr< SingleAssetOption > | clone () const =0 |
Protected Attributes | |
| Real | underlying_ |
| PlainVanillaPayoff | payoff_ |
| Spread | dividendYield_ |
| Rate | riskFreeRate_ |
| Time | residualTime_ |
| Volatility | volatility_ |
| bool | hasBeenCalculated_ |
| Real | rho_ |
| Real | dividendRho_ |
| Real | vega_ |
| Real | theta_ |
| bool | rhoComputed_ |
| bool | dividendRhoComputed_ |
| bool | vegaComputed_ |
| bool | thetaComputed_ |
Static Protected Attributes | |
| static const Real | dVolMultiplier_ |
| static const Real | dRMultiplier_ |
Friends | |
| class | VolatilityFunction |
| class | DivYieldFunction |
Member Function Documentation
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