AnalyticEuropeanEngineDeltaGamma Class Reference

Pricing engine for European vanilla options using analytical formulae. More...

#include <qle/pricingengines/analyticeuropeanenginedeltagamma.hpp>

Inheritance diagram for AnalyticEuropeanEngineDeltaGamma:

Public Member Functions
	AnalyticEuropeanEngineDeltaGamma (const QuantLib::ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const std::vector< Time > &bucketTimeDeltaGamma=std::vector< Time >(), const std::vector< Time > &bucketTimesVega=std::vector< Time >(), const bool computeDeltaVega=false, const bool computeGamma=false, const bool linearInZero=true)
void	calculate () const override

Detailed Description

Pricing engine for European vanilla options using analytical formulae.

The additional results of this engine are

deltaSpot (Real ): Delta w.r.t. spot gammaSpot (Real ): Gamma w.r.t. spot vega (vector<Real> ): Bucketed vega

deltaRate (vector<Real> ): Bucketed delta on risk free curve deltaDividend (vector<Real> ): Bucketed delta on dividend curve gamma (Matrix ): Gamma matrix with blocks | rate-rate rate-div | | rate-dic div-div | gammaSpotRate (vecor<Real> ): Mixed derivatives w.r.t. spot and rate gammaSpotDiv (vecor<Real> ): Mixed derivatives w.r.t. spot and div

theta (Real ): Theta (TODO...)

bucketTimesDeltaGamma (vector<Real> ): Bucketing grid for rate and dividend deltas and gammas bucketTimesVega (vector<Real> ): Bucketing grid for vega