QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
ql
pricingengines
vanilla
analyticdividendeuropeanengine.hpp
Go to the documentation of this file.
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
27
#include <
ql/instruments/vanillaoption.hpp
>
28
#include <
ql/processes/blackscholesprocess.hpp
>
29
30
namespace
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
*/
38
class
AnalyticDividendEuropeanEngine
:
public
VanillaOption::engine
{
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_
;
46
DividendSchedule
dividends_
;
47
};
48
49
}
50
51
52
#endif
blackscholesprocess.hpp
Black-Scholes processes.
QuantLib::AnalyticDividendEuropeanEngine
Analytic pricing engine for European options with discrete dividends.
Definition:
analyticdividendeuropeanengine.hpp:38
QuantLib::AnalyticDividendEuropeanEngine::calculate
void calculate() const override
Definition:
analyticdividendeuropeanengine.cpp:34
QuantLib::AnalyticDividendEuropeanEngine::dividends_
DividendSchedule dividends_
Definition:
analyticdividendeuropeanengine.hpp:46
QuantLib::AnalyticDividendEuropeanEngine::process_
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Definition:
analyticdividendeuropeanengine.hpp:45
QuantLib::OneAssetOption::engine
Definition:
oneassetoption.hpp:82
QuantLib
Definition:
any.hpp:35
QuantLib::DividendSchedule
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
Definition:
dividendschedule.hpp:33
vanillaoption.hpp
Vanilla option on a single asset.
Generated by
Doxygen
1.9.5