Model[Vanilla Option]


"Model[Vanilla Option]" is a special type of
Model with functions Model[Vanilla Option] Functions, keys Model[Vanilla Option] keys and example object VanOptMdl 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

The volatility input is represented by an object of type
Vol Curve, of which the Vol Input may be Flat, but may also be Maturity or Maturity-Strike
In the special case of fx options, the volatility input can also be
ATM-RR-BF

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 of the referenced tradable, which is the present value of all expected future cash flows, whereby "today" represents the currently set global valuation (trade) date or its overwrite through the
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.



The quantities listed in
McSimulation Extra Data are reportable when Monte Carlo Simulation is used.

The quantities listed in
FDVanilla Extra Data are reportable when Finite Differences is used.