## Model[Vanilla Option]

"Model[Vanilla Option]" is a special type of Model

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with functions Model[Vanilla Option] Functions, keys Model[Vanilla Option] keys and example object VanOptMdl

#### TYPE INCLUSION RELATIONSHIPS

#### AVAILABLE FUNCTIONS

#### AVAILABLE CREATE FUNCTION KEYS

Absolute Tolerance

Andersen Piterbarg Epsilon

Bates Model

Complex Log Formula

Finite Differences

GJRGARCH Model

Heston Model

HestonHullWhite Model

HullWhite Model

Integration

Laguerre Integr Order

Max Evaluations

Merton76 Model

PTDHeston Model

Pricing Method

Relative Tolerance

Simulation Model

Tree

Underlying-ShortRate Cor

#### TYPICAL OBJECTS OF TYPE Model[Vanilla Option]

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

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

**function.**

*delta***Gamma**

Refers to the output of QuantLib's

**function.**

*gamma***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

**equals the global trade date, except if overwriten by the optional entry As Of**

*trade date*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.