EuropeanOption Class Reference

#include <ql/Pricers/europeanoption.hpp>

Inheritance diagram for EuropeanOption:

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List of all members.

Detailed Description

Black-Scholes-Merton European option.

Deprecated:
use VanillaOption with EuropeanAnalyticEngine


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< SingleAssetOptionclone () const
void setVolatility (double newVolatility)
void setRiskFreeRate (Rate newRate)
void setDividendYield (Rate newDividendYield)
double beta () const


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