QuantLib: a free/open-source library for quantitative finance
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vanillaoption.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 Ferdinando Ametrano
5 Copyright (C) 2007 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file vanillaoption.hpp
22 \brief Vanilla option on a single asset
23*/
24
25#ifndef quantlib_vanilla_option_hpp
26#define quantlib_vanilla_option_hpp
27
31
32namespace QuantLib {
33
34 class GeneralizedBlackScholesProcess;
35
36 //! Vanilla option (no discrete dividends, no barriers) on a single asset
37 /*! \ingroup instruments */
39 public:
40 VanillaOption(const ext::shared_ptr<StrikedTypePayoff>&,
41 const ext::shared_ptr<Exercise>&);
42
43 /*! \warning currently, this method returns the Black-Scholes
44 implied volatility using analytic formulas for
45 European options and a finite-difference method
46 for American and Bermudan options. It will give
47 unconsistent results if the pricing was performed
48 with any other methods (such as jump-diffusion
49 models.)
50
51 \warning options with a gamma that changes sign (e.g.,
52 binary options) have values that are <b>not</b>
53 monotonic in the volatility. In these cases, the
54 calculation can fail and the result (if any) is
55 almost meaningless. Another possible source of
56 failure is to have a target value that is not
57 attainable with any volatility, e.g., a target
58 value lower than the intrinsic value in the case
59 of American options.
60 */
61 //@{
63 Real price,
64 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
65 Real accuracy = 1.0e-4,
66 Size maxEvaluations = 100,
67 Volatility minVol = 1.0e-7,
68 Volatility maxVol = 4.0) const;
69
71 Real price,
72 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
73 const DividendSchedule& dividends,
74 Real accuracy = 1.0e-4,
75 Size maxEvaluations = 100,
76 Volatility minVol = 1.0e-7,
77 Volatility maxVol = 4.0) const;
78 //@}
79 };
80
81}
82
83
84#endif
85
Base class for options on a single asset.
Vanilla option (no discrete dividends, no barriers) on a single asset.
Volatility impliedVolatility(Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
Schedule of dividend dates.
QL_REAL Real
real number
Definition: types.hpp:50
Real Volatility
volatility
Definition: types.hpp:78
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
Option on a single asset.
Payoffs for various options.