## 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 31 different methods listed in Pricing Approach

The volatility input, apart from flat, may also be Maturity or Maturity-Strike

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 quantities may be also calculated and reported along the price.

List of valid values:

**Delta**

Refers to the output of QuantLib's

**function.**

*delta***Gamma**

Refers to the output of QuantLib's

**function.**

*gamma***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

**function.**

*rho***Theta**

Refers to the output of QuantLib's

**function.**

*theta***Vega**

Refers to the output of QuantLib's

**function.**

*vega*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.