QuantLib 0.3.6
User manual
Introduction to QuantLib
QuantLib components
Reference manual
EuropeanOption Class Reference
#include <ql/Pricers/europeanoption.hpp>
Inheritance diagram for EuropeanOption:
Detailed Description
Black-Scholes-Merton European option.
- Deprecated:
- use VanillaOption with EuropeanAnalyticEngine
Public Member Functions | |
| EuropeanOption (Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, double volatility) | |
| double | value () const |
| double | delta () const |
| double | gamma () const |
| double | theta () const |
| double | vega () const |
| double | rho () const |
| double | dividendRho () const |
| Handle< SingleAssetOption > | clone () const |
| void | setVolatility (double newVolatility) |
| void | setRiskFreeRate (Rate newRate) |
| void | setDividendYield (Rate newDividendYield) |
| double | beta () const |
