25#ifndef quantlib_vanilla_option_hpp
26#define quantlib_vanilla_option_hpp
34 class GeneralizedBlackScholesProcess;
41 const ext::shared_ptr<Exercise>&);
64 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
65 Real accuracy = 1.0e-4,
66 Size maxEvaluations = 100,
72 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
74 Real accuracy = 1.0e-4,
75 Size maxEvaluations = 100,
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.
Real Volatility
volatility
std::size_t Size
size of a container
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
Option on a single asset.
Payoffs for various options.