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equityoption(1) [hpux man page]

EQUITYOPTION(1) 					      General Commands Manual						   EQUITYOPTION(1)

NAME

       EquityOption - Example of using QuantLib to value equity options

SYNOPSIS

       EquityOption

DESCRIPTION

       EquityOption is an example of using QuantLib.

       For  a  given set of option parameters, it computes the value of three different equity options types (with european, bermudan and american
       exercise features) using different valuation algorithms.

       The calculation methods are Black-Scholes (for european options only), Barone-Adesi/Whaley (american-only), Bjerksund/Stensland (american),
       Integral  (european), Finite differences, Binomial Jarrow-Rudd, Binomial Cox-Ross-Rubinstein, Additive equiprobabilities, Binomial Trigeor-
       gis, Binomial Tian, Binomial Leisen-Reimer, crude Monte Carlo (european-only) and Sobol-sequence Monte Carlo (european-only).

SEE ALSO

       The source code EquityOption.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), Fitted-
       BondCurve(1),   FRA(1),	 MarketModels(1),   Replication(1),   Repo(1),	 SwapValuation(1),  the  QuantLib  documentation  and  website	at
       http://quantlib.org.

AUTHORS

       The QuantLib Group (see Authors.txt).

       This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.

QuantLib							 25 February 2006						   EQUITYOPTION(1)

Check Out this Related Man Page

CONVERTIBLEBONDS(1)					      General Commands Manual					       CONVERTIBLEBONDS(1)

NAME

       ConvertibleBonds - Example of using QuantLib to value convertible bonds

SYNOPSIS

       ConvertibleBonds

DESCRIPTION

       ConvertibleBonds is an example of using QuantLib.

       For  a  given  set  of  option parameters, it computes the value of a convertible bond with an embedded put option for two different equity
       options types (with european and american exercise features) using the Tsiveriotis-Fernandes method with different implied tree algorithms.

       The tree types are Jarrow-Rudd, Cox-Ross-Rubinstein, Additive equiprobabilities, Trigeorgis, Tian and Leisen-Reimer.

SEE ALSO

       The source code ConvertibleBonds.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), DiscreteHedging(1), EquityOption(1), Fitted-
       BondCurve(1),   FRA(1),	 MarketModels(1),   Replication(1),   Repo(1),	 SwapValuation(1),  the  QuantLib  documentation  and  website	at
       http://quantlib.org.

AUTHORS

       The QuantLib Group (see Authors.txt).

       This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.

QuantLib							 25 February 2006					       CONVERTIBLEBONDS(1)
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