1Vanilla option engines(3)          QuantLib          Vanilla option engines(3)
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NAME

6       Vanilla option engines -
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Detailed Description

9   Classes
10       class AnalyticDigitalAmericanEngine
11           Analytic pricing engine for American vanilla options with digital
12           payoff.
13       class AnalyticDividendEuropeanEngine
14           Analytic pricing engine for European options with discrete
15           dividends.
16       class AnalyticEuropeanEngine
17           Pricing engine for European vanilla options using analytical
18           formulae.
19       class AnalyticHestonEngine
20           analytic Heston-model engine based on Fourier transform
21       class BaroneAdesiWhaleyApproximationEngine
22           Barone-Adesi and Whaley pricing engine for American options (1987).
23       class BatesEngine
24           Bates model engines based on Fourier transform.
25       class BinomialVanillaEngine
26           Pricing engine for vanilla options using binomial trees.
27       class BjerksundStenslandApproximationEngine
28           Bjerksund and Stensland pricing engine for American options (1993).
29       class FDBermudanEngine
30           Finite-differences Bermudan engine.
31       class FDDividendEngineMerton73
32           Finite-differences pricing engine for dividend options using.
33       class FDDividendEngineShiftScale
34           Finite-differences pricing engine for dividend options using.
35       class FDEuropeanEngine
36           Pricing engine for European options using finite-differences.
37       class FDStepConditionEngine
38           Finite-differences pricing engine for American-style vanilla
39           options.
40       class IntegralEngine
41           Pricing engine for European vanilla options using integral
42           approach.
43       class JumpDiffusionEngine
44           Jump-diffusion engine for vanilla options.
45       class JuQuadraticApproximationEngine
46           Pricing engine for American options with Ju quadratic
47           approximation.
48       class MCAmericanEngine
49           American Monte Carlo engine.
50       class MCDigitalEngine
51           Pricing engine for digital options using Monte Carlo simulation.
52       class MCEuropeanEngine
53           European option pricing engine using Monte Carlo simulation.
54       class MCEuropeanHestonEngine
55           Monte Carlo Heston-model engine for European options.
56       class MCVanillaEngine
57           Pricing engine for vanilla options using Monte Carlo simulation.
58
59   Typedefs
60       typedef FDEngineAdapter< FDAmericanCondition< FDStepConditionEngine >,
61           OneAssetOption::engine > FDAmericanEngine
62           Finite-differences pricing engine for American one asset options.
63       typedef FDEngineAdapter< FDAmericanCondition< FDDividendEngine >,
64           DividendVanillaOption::engine > FDDividendAmericanEngine
65           Finite-differences pricing engine for dividend American options.
66       typedef FDEngineAdapter< FDDividendEngine,
67           DividendVanillaOption::engine > FDDividendEuropeanEngine
68           Finite-differences pricing engine for dividend European options.
69       typedef FDEngineAdapter< FDShoutCondition< FDDividendEngine >,
70           DividendVanillaOption::engine > FDDividendShoutEngine
71           Finite-differences shout engine with dividends.
72       typedef FDEngineAdapter< FDShoutCondition< FDStepConditionEngine >,
73           VanillaOption::engine > FDShoutEngine
74           Finite-differences pricing engine for shout vanilla options.
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Typedef Documentation

77   typedef FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,
78       OneAssetOption::engine> FDAmericanEngine
79       Finite-differences pricing engine for American one asset options.
80
81       Tests
82
83           · the correctness of the returned value is tested by reproducing
84             results available in literature.
85
86           · the correctness of the returned greeks is tested by reproducing
87             numerical derivatives.
88
89       Examples:
90           EquityOption.cpp.
91
92   typedef FDEngineAdapter<FDAmericanCondition<FDDividendEngine>,
93       DividendVanillaOption::engine> FDDividendAmericanEngine
94       Finite-differences pricing engine for dividend American options.
95
96       Tests
97
98           · the correctness of the returned greeks is tested by reproducing
99             numerical derivatives.
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101           · the invariance of the results upon addition of null dividends is
102             tested.
103
104       Bug
105           results are not overly reliable.
106
107       Bug
108           method impliedVolatility() utterly fails
109
110   typedef FDEngineAdapter<FDDividendEngine, DividendVanillaOption::engine>
111       FDDividendEuropeanEngine
112       Finite-differences pricing engine for dividend European options.
113
114       Tests
115
116           · the correctness of the returned greeks is tested by reproducing
117             numerical derivatives.
118
119           · the invariance of the results upon addition of null dividends is
120             tested.
121
122   typedef FDEngineAdapter<FDShoutCondition<FDDividendEngine>,
123       DividendVanillaOption::engine> FDDividendShoutEngine
124       Finite-differences shout engine with dividends.
125
126       Bug
127           results are not overly reliable.
128
129   typedef FDEngineAdapter<FDShoutCondition<FDStepConditionEngine>,
130       VanillaOption::engine> FDShoutEngine
131       Finite-differences pricing engine for shout vanilla options.
132
133       Tests
134           the correctness of the returned greeks is tested by reproducing
135           numerical derivatives.
136
137Version 0.8.1                     29 Oct 2007        Vanilla option engines(3)