AnalyticDividendEuropeanEngine Class Reference

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

#include <analyticdividendeuropeanengine.hpp>

Inheritance diagram for AnalyticDividendEuropeanEngine:

Collaboration diagram for AnalyticDividendEuropeanEngine:

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

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
DividendSchedule	dividends_

Detailed Description

Analytic pricing engine for European options with discrete dividends.

Tests:

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

Definition at line 38 of file analyticdividendeuropeanengine.hpp.

Constructor & Destructor Documentation

AnalyticDividendEuropeanEngine()

AnalyticDividendEuropeanEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		DividendSchedule	dividends
	)

Definition at line 27 of file analyticdividendeuropeanengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 34 of file analyticdividendeuropeanengine.cpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 45 of file analyticdividendeuropeanengine.hpp.

dividends_

DividendSchedule dividends_

private

Definition at line 46 of file analyticdividendeuropeanengine.hpp.