QuantLib: a free/open-source library for quantitative finance
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analyticdividendeuropeanengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2004, 2007 StatPro Italia srl
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file analyticdividendeuropeanengine.hpp
21 \brief Analytic discrete-dividend European engine
22*/
23
24#ifndef quantlib_analytic_dividend_european_engine_hpp
25#define quantlib_analytic_dividend_european_engine_hpp
26
29
30namespace QuantLib {
31
32 //! Analytic pricing engine for European options with discrete dividends
33 /*! \ingroup vanillaengines
34
35 \test the correctness of the returned greeks is tested by
36 reproducing numerical derivatives.
37 */
39 public:
40 AnalyticDividendEuropeanEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process,
41 DividendSchedule dividends);
42
43 void calculate() const override;
44 private:
45 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
47 };
48
49}
50
51
52#endif
Black-Scholes processes.
Analytic pricing engine for European options with discrete dividends.
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Definition: any.hpp:35
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
Vanilla option on a single asset.