QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
AnalyticDividendEuropeanEngine Class Reference

Analytic pricing engine for European options with discrete dividends. More...

#include <analyticdividendeuropeanengine.hpp>

+ Inheritance diagram for AnalyticDividendEuropeanEngine:
+ Collaboration diagram for AnalyticDividendEuropeanEngine:

Public Member Functions

 AnalyticDividendEuropeanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, DividendSchedule dividends)
 
void calculate () const override
 

Private Attributes

ext::shared_ptr< GeneralizedBlackScholesProcessprocess_
 
DividendSchedule dividends_
 

Detailed Description

Analytic pricing engine for European options with discrete dividends.

Tests:
the correctness of the returned greeks is tested by reproducing numerical derivatives.

Definition at line 38 of file analyticdividendeuropeanengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticDividendEuropeanEngine()

AnalyticDividendEuropeanEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess process,
DividendSchedule  dividends 
)

Definition at line 27 of file analyticdividendeuropeanengine.cpp.

Member Function Documentation

◆ calculate()

void calculate ( ) const
override

Definition at line 34 of file analyticdividendeuropeanengine.cpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_
private

Definition at line 45 of file analyticdividendeuropeanengine.hpp.

◆ dividends_

DividendSchedule dividends_
private

Definition at line 46 of file analyticdividendeuropeanengine.hpp.