Vanilla_Option

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

The pricing methodology is specified in Model[Vanilla Option]

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