EuropeanOption Class Reference#include <ql/Pricers/europeanoption.hpp>
Inheritance diagram for EuropeanOption:
[legend]List of all members.
Detailed Description
Black-Scholes-Merton European option.
- Deprecated:
- use VanillaOption with EuropeanAnalyticEngine
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Public Member Functions |
| EuropeanOption (Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility) |
double | value () const |
double | delta () const |
double | gamma () const |
double | theta () const |
double | vega () const |
double | rho () const |
double | dividendRho () const |
Handle< SingleAssetOption > | clone () const |
void | setVolatility (double newVolatility) |
void | setRiskFreeRate (Rate newRate) |
void | setDividendYield (Rate newDividendYield) |
double | beta () const |
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