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Model[Vanilla_Option]"Model[Vanilla Option]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Vanilla Option.
The pricing succeeds by any of 35 different methods listed in Model[Vanilla Option]::Pricing Approach
The volatility input, apart from flat, may also be Vol Curve::Vol Input::Maturity or Vol Curve::Vol Input::Maturity-Strike
If the "correct" volatility input is not known, the functions Tradable::Implied Vol and Vol Curve::Create Implied Vol Table 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.
Refers to the output of QuantLib's delta function.
Refers to the output of QuantLib's gamma function.
The output refers to the price of the referenced tradable contract.
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 McSimulation Extra Data are reportable when Monte Carlo Simulation is used.
The quantities listed in FDVanilla Extra Data are reportable when Finite Differences is used.