AnalyticDividendEuropeanEngine Class Reference

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

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

Inheritance diagram for AnalyticDividendEuropeanEngine:

Public Member Functions

 AnalyticDividendEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
 
void calculate () const
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >
DividendVanillaOption::arguments arguments_
 
DividendVanillaOption::results results_
 

Detailed Description

Analytic pricing engine for European options with discrete dividends.

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