QuantLib 0.3.7
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Reference manual
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FdDividendAmericanOption Class Reference#include <ql/Pricers/fddividendamericanoption.hpp>
List of all members.
Detailed Description
American option with discrete dividends.
- Bug:
- sometimes yields negative vega when deeply in-the-money
method impliedVolatility() utterly fails
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Public Member Functions |
| FdDividendAmericanOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility, const std::vector< Real > ÷nds=std::vector< Real >(), const std::vector< Time > &exdivdates=std::vector< Time >(), Size timeSteps=100, Size gridPoints=100) |
boost::shared_ptr< SingleAssetOption > | clone () const |
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