DividendVanillaOption Class Reference

Single-asset vanilla option (no barriers) with discrete dividends. More...

#include <ql/instruments/dividendvanillaoption.hpp>

Inheritance diagram for DividendVanillaOption:

List of all members.

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 > &dividendDates, const std::vector< Real > &dividends)
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

Detailed Description

Single-asset vanilla option (no barriers) with discrete dividends.


Member Function Documentation

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
Warning:
see VanillaOption for notes on implied-volatility calculation.
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.