AnalyticEuropeanEngine Class Reference
[Vanilla option engines]

#include <ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp>

Inheritance diagram for AnalyticEuropeanEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

Pricing engine for European vanilla options using analytical formulae.

Tests:
a) the correctness of the returned value in case of cash-or-nothing digital payoff is tested by reproducing results available in literature.

b) the correctness of the returned value in case of asset-or-nothing digital payoff is tested by reproducing results available in literature.

c) the correctness of the returned value in case of gap digital payoff is tested by reproducing results available in literature.

d) the correctness of the returned greeks in case of cash-or-nothing digital payoff is tested by reproducing numerical derivatives.


Public Member Functions

void calculate () const


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