org.jquantlib.pricingengines

Class AnalyticEuropeanEngine

java.lang.Object

org.jquantlib.pricingengines.GenericEngine<OneAssetOption.Arguments,OneAssetOption.Results>

org.jquantlib.instruments.OneAssetOption.EngineImpl

org.jquantlib.pricingengines.AnalyticEuropeanEngine

All Implemented Interfaces:

OneAssetOption.Engine, PricingEngine, Observable, Observer

public class AnalyticEuropeanEngine
extends OneAssetOption.EngineImpl

Pricing engine for European vanilla options using analytical formulae

The correctness of the returned value is tested by reproducing results available in literature.

the correctness of the returned greeks is tested by reproducing results available in literature. the correctness of the returned greeks is tested by reproducing numerical derivatives. the correctness of the returned implied volatility is tested by using it for reproducing the target value. the implied volatility calculation is tested by checking that it does not modify the option. the correctness of the returned value in case of cash-or-nothing binary payoff is tested by reproducing results available in literature. the correctness of the returned value in case of asset-or-nothing binary payoff is tested by reproducing results available in literature. the correctness of the returned value in case of gap-or-nothing binary payoff is tested by reproducing results available in literature. the correctness of the returned greeks in case of cash-or-nothing binary payoff is tested by reproducing numerical derivatives.

See Also:

PricingEngine