- QuantLib
- DividendVanillaOption
Single-asset vanilla option (no barriers) with discrete dividends. More...
#include <ql/instruments/dividendvanillaoption.hpp>
Classes | |
class | arguments |
Arguments for dividend vanilla option calculation More... | |
class | engine |
Dividend-vanilla-option engine base class More... | |
Public Member Functions | |
DividendVanillaOption (const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const std::vector< Date > ÷ndDates, const std::vector< Real > ÷nds) | |
Volatility | impliedVolatility (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 |
Protected Member Functions | |
void | setupArguments (PricingEngine::arguments *) const |
Single-asset vanilla option (no barriers) with discrete dividends.
Volatility impliedVolatility | ( | Real | price, |
const boost::shared_ptr< GeneralizedBlackScholesProcess > & | process, | ||
Real | accuracy = 1.0e-4 , |
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Size | maxEvaluations = 100 , |
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Volatility | minVol = 1.0e-7 , |
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Volatility | maxVol = 4.0 |
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) | const |
void setupArguments | ( | PricingEngine::arguments * | ) | const [protected, virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Option.