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.