1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2004, 2007 StatPro Italia srl
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file dividendvanillaoption.hpp
21 \brief Vanilla option on a single asset with discrete dividends
22*/
23
24#ifndef quantlib_dividend_vanilla_option_hpp
25#define quantlib_dividend_vanilla_option_hpp
26
27#include <ql/instruments/oneassetoption.hpp>
28#include <ql/instruments/dividendschedule.hpp>
29#include <ql/instruments/payoffs.hpp>
30
31namespace QuantLib {
32
33 class GeneralizedBlackScholesProcess;
34
35 //! Single-asset vanilla option (no barriers) with discrete dividends
36 /*! \deprecated Use VanillaOption instead and pass the dividends
37 to the desired engine.
38 Deprecated in version 1.30.
39 */
40 class QL_DEPRECATED DividendVanillaOption : public OneAssetOption {
41 public:
42 class arguments;
43 class engine;
44 DividendVanillaOption(
45 const ext::shared_ptr<StrikedTypePayoff>& payoff,
46 const ext::shared_ptr<Exercise>& exercise,
47 const std::vector<Date>& dividendDates,
48 const std::vector<Real>& dividends);
49 /*! \warning see VanillaOption for notes on implied-volatility
50 calculation.
51 */
52 Volatility impliedVolatility(
53 Real price,
54 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
55 Real accuracy = 1.0e-4,
56 Size maxEvaluations = 100,
57 Volatility minVol = 1.0e-7,
58 Volatility maxVol = 4.0) const;
59 protected:
60 void setupArguments(PricingEngine::arguments*) const override;
61
62 private:
63 DividendSchedule cashFlow_;
64 };
65
66 class DividendVanillaOption::arguments : public OneAssetOption::arguments {
67 public:
68 DividendSchedule cashFlow;
69 arguments() = default;
70 void validate() const override;
71 };
72
73 QL_DEPRECATED_DISABLE_WARNING
74 class DividendVanillaOption::engine
75 : public GenericEngine<DividendVanillaOption::arguments,
76 DividendVanillaOption::results> {};
77 QL_DEPRECATED_ENABLE_WARNING
78
79}
80
81
82#endif
83
84

source code of quantlib/ql/instruments/dividendvanillaoption.hpp