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


Public Member Functions

 FdDividendAmericanOption (Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility, const std::vector< double > &dividends=std::vector< double >(), const std::vector< Time > &exdivdates=std::vector< Time >(), int timeSteps=100, int gridPoints=100)
Handle< SingleAssetOptionclone () const


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