Creates a Vanilla Option object.

This object in fact can price a large class of (vanilla) option types including European, American and Digital options via a large range of pricing engines (Tree, Analytical, Integral, MonteCarlo, Finite Differences etc...).

Once the object has been constructed, the value of the option can be obtained by executing the PrcObjVanillaOption() function.

This function requires the input of a BlackScholes Process object key, which must have been produced via a call to GBSProcess, GBSProcess2(), BS73Process(), BS73Process2(), BlackProcess(), BlackProcess2(), GKProcess() or GKProcess2(). These functions would have returned a string 'KEY' which is to be passed to the 'stochProcess' parameter of this function.

This function requires the input of a payoff object key, which must have been produced via a call to one of the following functions : PlainVanilla(), PercentageStrike(), CashOrNothing(), AssetOrNothingPayoff() or Gap(). These functions would have returned a string 'KEY' which is to be passed to the 'payoff' parameter of this function.

This function requires the input of a exercise object key, which must have been produced via a call to one of the following functions : AmericanExercise(), EuropeanExercise(), BermudanExercise(), ExerciseFromLeg(), ExerciseFromSche(), ExerciseFromSW(), ExerciseFromFIXBND() or ExerciseFromFLTBND(). These functions would have returned a string 'KEY' which is to be passed to the 'exercise' parameter of this function.

This function requires the input of an engine object key.

Many engine objects can be passed.

Most of the engines are included within the following category of functions : CapeTools Vanilla Engine, CapeTools Vanilla Tree Engine, CapeTools FD Engine and CapeTools American Engine. These Engine functions would have returned a string 'KEY' which is to be passed to the 'engine' parameter of this function.

This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "EUROPT"

String CTEngineOptions.VanillaOption( _
String Key, _
Long Reload, _
String stochProcess, _
String payoff, _
String exercise, _
String engine)

=CT.OPT.VanillaOption(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell stochProcess,
Excel String Cell payoff,
Excel String Cell exercise,
Excel String Cell engine)

static std::string VanillaOption(
std::string Key,
long Reload,
std::string stochProcess,
std::string payoff,
std::string exercise,
std::string engine);

System.String CTEngineOptionsSA.VanillaOption(
System.String Key,
System.Int32 Reload,
System.String stochProcess,
System.String payoff,
System.String exercise,
System.String engine);

The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.