Logo Search packages:      
Sourcecode: quantlib version File versions  Download package


Go to the documentation of this file.
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2004 Neil Firth

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

/*! \file juquadraticengine.hpp
    \brief Ju quadratic (1999) approximation engine

#ifndef quantlib_ju_quadratic_engine_hpp
#define quantlib_ju_quadratic_engine_hpp

#include <ql/Instruments/vanillaoption.hpp>

namespace QuantLib {

    /*! Pricing engine for American options with Ju quadratic approximation

        An Approximate Formula for Pricing American Options
        Journal of Derivatives Winter 1999
        Ju, N.

        \warning Barone-Adesi-Whaley critical commodity price calculation is
        used, it has not been modified to see whether the method of Ju is
        faster. Ju does not say how he solves the equation for the critical
        stock price, e.g. Newton method. He just gives the solution.
        The method of BAW gives answers to the same accuracy as in Ju (1999)

        \ingroup vanillaengines

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

        \bug test fails for Borland compiler
00050     class JuQuadraticApproximationEngine
        : public VanillaOption::engine {
        void calculate() const;



Generated by  Doxygen 1.6.0   Back to index