AnalyticDividendEuropeanEngine Class Reference

Analytic pricing engine for European options with discrete dividends. More...

#include <ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp>

Public Member Functions
	AnalyticDividendEuropeanEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, DividendSchedule dividends)
void	calculate () const override

Detailed Description

Analytic pricing engine for European options with discrete dividends.

Tests

the correctness of the returned greeks is tested by reproducing numerical derivatives.