Go to Deriscope's documentation start page
Vanilla_OptionVanilla Option is a Tradable that represents a special type of Option, where the underlying contract has the form of a single - not portfolio based - deliverable asset.
Thereby the option holder has the right - but not the obligation - to buy (if a "call option") or to sell (if a "put option") in the future a single share of a specified underlying tradable at some preagreed price called "strike".
In mathematical terms, holding such an option on some underlying S is a means of getting non-linear exposure on that underlying.
In particular, letting K be the strike and ε equal 1 if call and -1 if put, the option's payoff at exercise date will be max(ε(S-K), 0), versus just S, were one to hold just the underlying rather than the option.
The pricing methodology is specified in Model[Vanilla Option]
The following QuantLib issues have been identified: