com.github.vonrosen.quantlib

Class DividendVanillaOption

java.lang.Object

com.github.vonrosen.quantlib.Instrument

com.github.vonrosen.quantlib.DividendVanillaOption

public class DividendVanillaOption
extends Instrument

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.Instrument

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	DividendVanillaOption(long cPtr, boolean cMemoryOwn)
	DividendVanillaOption(Payoff payoff, Exercise exercise, DateVector dividendDates, DoubleVector dividends)

Method Summary

Modifier and Type	Method and Description
void	delete()
double	delta()
double	dividendRho()
protected void	finalize()
double	gamma()
protected static long	getCPtr(DividendVanillaOption obj)
double	impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process)
double	impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process, double accuracy)
double	impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process, double accuracy, long maxEvaluations)
double	impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process, double accuracy, long maxEvaluations, double minVol)
double	impliedVolatility(double targetValue, GeneralizedBlackScholesProcess process, double accuracy, long maxEvaluations, double minVol, double maxVol)
SampledCurve	priceCurve()
double	rho()
double	strikeSensitivity()
double	theta()
double	thetaPerDay()
double	vega()

Methods inherited from class com.github.vonrosen.quantlib.Instrument

__deref__, asObservable, errorEstimate, freeze, getCPtr, isExpired, isNull, NPV, recalculate, setPricingEngine, unfreeze

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DividendVanillaOption

protected DividendVanillaOption(long cPtr,
                                boolean cMemoryOwn)

DividendVanillaOption

public DividendVanillaOption(Payoff payoff,
                             Exercise exercise,
                             DateVector dividendDates,
                             DoubleVector dividends)

Method Detail

getCPtr

protected static long getCPtr(DividendVanillaOption obj)

finalize

protected void finalize()

Overrides:

finalize in class Instrument

delete

public void delete()

Overrides:

delete in class Instrument

priceCurve

public SampledCurve priceCurve()

impliedVolatility

public double impliedVolatility(double targetValue,
                                GeneralizedBlackScholesProcess process,
                                double accuracy,
                                long maxEvaluations,
                                double minVol,
                                double maxVol)

impliedVolatility

public double impliedVolatility(double targetValue,
                                GeneralizedBlackScholesProcess process,
                                double accuracy,
                                long maxEvaluations,
                                double minVol)

impliedVolatility

public double impliedVolatility(double targetValue,
                                GeneralizedBlackScholesProcess process,
                                double accuracy,
                                long maxEvaluations)

impliedVolatility

public double impliedVolatility(double targetValue,
                                GeneralizedBlackScholesProcess process,
                                double accuracy)

impliedVolatility

public double impliedVolatility(double targetValue,
                                GeneralizedBlackScholesProcess process)

delta

public double delta()

gamma

public double gamma()

theta

public double theta()

thetaPerDay

public double thetaPerDay()

vega

public double vega()

rho

public double rho()

dividendRho

public double dividendRho()

strikeSensitivity

public double strikeSensitivity()