Deriscope

The Excel Derivatives Periscope

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Vanilla_Option_Group

Vanilla 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:
Issue::VanillaOption_AnalyticBarrier_NegativeRebateIgnored
Issue::VanillaOption_PayAtExpiry_Ignored
Issue::VanillaOption_AnalyticGJRGARCH_NegativeOptionPrice
Issue::VanillaOption_GJRGARCHModel_Discretization_FullTruncation
Issue::VanillaOption_HestonModel_Discretization_QuadraticExponentialMartingale
Issue::VanillaOption_FDEuropean_On_NonEuropean
Issue::VanillaOption_FDDividendEuropean_On_NonEuropean
Issue::VanillaOption_MCEuropean_On_NonEuropean
Issue::VanillaOption_MCEuropeanGJRGARCH_On_NonEuropean
Issue::VanillaOption_MCEuropeanHeston_On_NonEuropean
Issue::VanillaOption_AnalyticBarrier_On_NonEuropean
Issue::VanillaOption_MCBarrier_On_NonEuropean
Issue::VanillaOption_FDAmerican_TimeDependent
Issue::VanillaOption_FDAmerican_On_NonAmerican
Issue::VanillaOption_FDDividendAmerican_On_NonAmerican
Issue::VanillaOption_BaroneAdesiWhaleyApprox_On_NonAmerican
Issue::VanillaOption_BjerksundStenslandApprox_On_NonAmerican
Issue::VanillaOption_JuQuadraticApprox_On_NonAmerican
Issue::VanillaOption_FdBlackScholesVanilla_On_Mixed
Issue::VanillaOption_FDBermudan_TimeDependent
Issue::VanillaOption_FDBermudan_On_Mixed_American
Issue::VanillaOption_FdHestonVanilla_On_Mixed
Issue::VanillaOption_FdBatesVanilla_On_Mixed
Issue::VanillaOption_FdHestonHullWhiteVanilla_On_Mixed
Issue::VanillaOption_MCAmerican_On_Mixed_European
Issue::VanillaOption_BinomialVanilla_VolCurveIgnored

The following direct subtypes exist:
Commodity Option
FX Option
Stock Index Option
Stock Option