QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
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AnalyticEuropeanEngine Class Reference

Pricing engine for European vanilla options using analytical formulae. More...

#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>

Inherits engine.

Public Member Functions

 AnalyticEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
 
void calculate () const
 

Detailed Description

Pricing engine for European vanilla options using analytical formulae.

Tests:
  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the returned greeks is tested by reproducing results available in literature.
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.
  • the correctness of the returned implied volatility is tested by using it for reproducing the target value.
  • the implied-volatility calculation is tested by checking that it does not modify the option.
  • the correctness of the returned value in case of cash-or-nothing digital payoff is tested by reproducing results available in literature.
  • the correctness of the returned value in case of asset-or-nothing digital payoff is tested by reproducing results available in literature.
  • the correctness of the returned value in case of gap digital payoff is tested by reproducing results available in literature.
  • the correctness of the returned greeks in case of cash-or-nothing digital payoff is tested by reproducing numerical derivatives.
Examples:
EquityOption.cpp, and Replication.cpp.