This type represents that represents all modelling assumptions needed in valuation algorithms concerning objects of type Vanilla Option. The pricing succeeds by any of 5 different methods listed in Pricing Approach
If the "correct" volatility input is not known, the functions Implied Vol and Create Implied Vol Table allows the calculation of the volatility implied by any given set of option prices.
The following labels may be assigned to the key Output of the Price function in order for the latter to return the respective quantities. List of valid values: Delta Refers to the output of QuantLib's delta function.
Gamma Refers to the output of QuantLib's gamma function.
Price The output is a number that represents the price - also known as NPV (Net Present Value) - of the referenced tradable as of the trade date Note the applicable trade date equals the global trade date, except if overwriten by the optional entry As Of The cash flows occurring on the trade date are included only if Trade Date CFs is set to TRUE
Rho Refers to the output of QuantLib's rho function.
Theta Refers to the output of QuantLib's theta function.
Vega Refers to the output of QuantLib's vega function.