"Model[Vanilla Option]" is a special type of with functions , keys and example object that represents all modelling assumptions needed in valuation algorithms concerning objects of type .
The pricing succeeds by any of 31 different methods listed in
The volatility input, apart from flat, may also be or
If the "correct" volatility input is not known, the functions and 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:
Refers to the output of QuantLib's delta function.
Refers to the output of QuantLib's gamma function.
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 .
The cash flows occurring on the trade date are included only if is set to TRUE
Refers to the output of QuantLib's rho function.
Refers to the output of QuantLib's theta function.
Refers to the output of QuantLib's vega function.
The quantities listed in are reportable when Monte Carlo Simulation is used.
The quantities listed in are reportable when Finite Differences is used.