VolatilityFunction (3) - Linux Manuals

VolatilityFunction: Black-Scholes-Merton option.

NAME

QuantLib::SingleAssetOption - Black-Scholes-Merton option.

SYNOPSIS

#include <ql/legacy/pricers/singleassetoption.hpp>

Inherited by DiscreteGeometricASO.

Public Member Functions

SingleAssetOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility)

virtual void setVolatility (Volatility newVolatility)

virtual void setRiskFreeRate (Rate newRate)

virtual void setDividendYield (Rate newDividendYield)

virtual Real value () const =0

virtual Real delta () const =0

virtual Real gamma () const =0

virtual Real theta () const

virtual Real vega () const

virtual Real rho () const

virtual Real dividendRho () const

Volatility impliedVolatility (Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const

Spread impliedDivYield (Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Spread minYield=1.0e-7, Spread maxYield=4.0) const

virtual boost::shared_ptr< SingleAssetOption > clone () const =0

Protected Attributes

Real underlying_

PlainVanillaPayoff payoff_

Spread dividendYield_

Rate riskFreeRate_

Time residualTime_

Volatility volatility_

bool hasBeenCalculated_

Real rho_

Real dividendRho_

Real vega_

Real theta_

bool rhoComputed_

bool dividendRhoComputed_

bool vegaComputed_

bool thetaComputed_

Static Protected Attributes

static const Real dVolMultiplier_

static const Real dRMultiplier_

Friends

class VolatilityFunction

class DivYieldFunction

Detailed Description

Black-Scholes-Merton option.

Member Function Documentation

Volatility impliedVolatility (Real targetValue, Real accuracy = 1e-4, Size maxEvaluations = 100, Volatility minVol = 1.0e-7, Volatility maxVol = 4.0) const

Warning

Options with a gamma that changes sign have values that are not monotonic in the volatility, e.g binary options. In these cases impliedVolatility can fail and in any case is meaningless. Another possible source of failure is to have a targetValue that is not attainable with any volatility, e.g. a targetValue lower than the intrinsic value in the case of American options.

Author

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