AnalyticDoubleBarrierBinaryEngine Class Reference

Analytic pricing engine for double barrier binary options. More...

#include <qle/pricingengines/analyticdoublebarrierbinaryengine.hpp>

Inheritance diagram for AnalyticDoubleBarrierBinaryEngine:

Collaboration diagram for AnalyticDoubleBarrierBinaryEngine:

Public Member Functions
	AnalyticDoubleBarrierBinaryEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > gbsp, const Date &payDate, const bool flipResults=false)
void	calculate () const override

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Date	payDate_
bool	flipResults_

Detailed Description

Analytic pricing engine for double barrier binary options.

Definition at line 34 of file analyticdoublebarrierbinaryengine.hpp.

Constructor & Destructor Documentation

AnalyticDoubleBarrierBinaryEngine()

AnalyticDoubleBarrierBinaryEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  gbsp, const Date &  payDate, const bool  flipResults = false  )

explicit

Definition at line 36 of file analyticdoublebarrierbinaryengine.hpp.

              : QuantLib::AnalyticDoubleBarrierBinaryEngine(gbsp), process_(std::move(gbsp)), payDate_(payDate),
                flipResults_(flipResults) {
              registerWith(process_);
          }

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 27 of file analyticdoublebarrierbinaryengine.cpp.

                                                        {
 
    QuantLib::AnalyticDoubleBarrierBinaryEngine::calculate();
 
    // If a payDate was provided (and is greater than the expiryDate)
    if (payDate_ > arguments_.exercise->lastDate()) {
        Rate payDateDiscount = process_->riskFreeRate()->discount(payDate_);
        Rate expiryDateDiscount = process_->riskFreeRate()->discount(arguments_.exercise->lastDate());
        Rate factor = payDateDiscount / expiryDateDiscount;
        results_.value *= factor;
    }
 
    if (flipResults_) {
        // Invert spot, costOfCarry
        auto it = results_.additionalResults.find("spot");
        if (it != results_.additionalResults.end())
            it->second = 1. / boost::any_cast<Real>(it->second);
        it = results_.additionalResults.find("costOfCarry");
        if (it != results_.additionalResults.end())
            it->second = -1. * boost::any_cast<Real>(it->second);
 
        // Swap riskFreeRate and dividendYield
        auto rfDiscountIt = results_.additionalResults.find("riskFreeRate");
        auto divDiscountIt = results_.additionalResults.find("dividendYield");
        if (rfDiscountIt != results_.additionalResults.end() && divDiscountIt != results_.additionalResults.end())
            std::swap(rfDiscountIt->second, divDiscountIt->second);
 
        // Invert and swap barrierLow and barrierHigh
        auto barrierLowIt = results_.additionalResults.find("barrierLow");
        auto barrierHighIt = results_.additionalResults.find("barrierHigh");
        if (barrierLowIt != results_.additionalResults.end() && barrierHighIt != results_.additionalResults.end()) {
            barrierLowIt->second = 1. / boost::any_cast<Real>(barrierLowIt->second);
            barrierHighIt->second = 1. / boost::any_cast<Real>(barrierHighIt->second);
            std::swap(barrierLowIt->second, barrierHighIt->second);
        }
    }
}

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 45 of file analyticdoublebarrierbinaryengine.hpp.

payDate_

Date payDate_

private

Definition at line 46 of file analyticdoublebarrierbinaryengine.hpp.

flipResults_

bool flipResults_

private

Definition at line 47 of file analyticdoublebarrierbinaryengine.hpp.