AnalyticDividendEuropeanEngine (3) - Linux Manuals

AnalyticDividendEuropeanEngine: Analytic pricing engine for European options with discrete dividends.

NAME

QuantLib::AnalyticDividendEuropeanEngine - Analytic pricing engine for European options with discrete dividends.

SYNOPSIS

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

Inherits QuantLib::DividendVanillaOption::engine.

Public Member Functions

AnalyticDividendEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)

void calculate () const

Detailed Description

Analytic pricing engine for European options with discrete dividends.

Tests

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

Author

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