test.allvol.cpp File Reference

---

Detailed Description

This program checks the implied volatility calculation for these valuation models:

• european_option_pair
• american_option_fudge
• american_option_approximation
• binomial_option

for the case where ALPHA = R = 0, they should all give the same answer.

Definition in file test.allvol.cpp.

#include <iostream>
#include <iomanip>
#include "binomial.h"
#include "americanapprox.h"
#include "americanfudge.h"
#include "simpleoption.h"

Include dependency graph for test.allvol.cpp:

Go to the source code of this file.

Defines
#define	ALPHA   0
#define	R   0.05
#define	S   424
#define	K   340
#define	Tau   (145.0/365)
#define	CallPrice   85.75
Functions
int	main ()

---