analyticdividendeuropeanengine (3) - Linux Manuals

analyticdividendeuropeanengine: Analytic discrete-dividend European engine.

NAME

ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp - Analytic discrete-dividend European engine.

SYNOPSIS

#include <ql/instruments/dividendvanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes

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

Detailed Description

Analytic discrete-dividend European engine.

Author

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