QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
AnalyticDividendEuropeanEngine Class Reference

Analytic pricing engine for European options with discrete dividends. More...

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

+ Inheritance diagram for AnalyticDividendEuropeanEngine:

Public Member Functions

 AnalyticDividendEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >
DividendVanillaOption::arguments arguments_
 
DividendVanillaOption::results results_
 

Detailed Description

Analytic pricing engine for European options with discrete dividends.

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