Pricing engine for spread options with two assets. More...

#include <operatorsplittingspreadengine.hpp>

Inheritance diagram for OperatorSplittingSpreadEngine:

Collaboration diagram for OperatorSplittingSpreadEngine:

Public Types
enum	Order { First , Second }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	OperatorSplittingSpreadEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Real correlation, Order order=Second)

Public Member Functions inherited from SpreadBlackScholesVanillaEngine
	SpreadBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Real correlation)

void	calculate () const override

Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Protected Member Functions
Real	calculate (Real f1, Real f2, Real strike, Option::Type optionType, Real variance1, Real variance2, DiscountFactor df) const override

virtual Real	calculate (Real f1, Real f2, Real strike, Option::Type optionType, Real variance1, Real variance2, DiscountFactor df) const =0

Protected Attributes
const Order	order_

Protected Attributes inherited from SpreadBlackScholesVanillaEngine
const ext::shared_ptr< GeneralizedBlackScholesProcess >	process1_

const ext::shared_ptr< GeneralizedBlackScholesProcess >	process2_

const Real	rho_

Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments	arguments_

BasketOption::results	results_

Detailed Description

Pricing engine for spread options with two assets.

Chi-Fai Lo, Pricing Spread Options by the Operator Splitting Method, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2429696

Definition at line 38 of file operatorsplittingspreadengine.hpp.

Member Enumeration Documentation

◆ Order

enum Order

Enumerator
First
Second

Definition at line 40 of file operatorsplittingspreadengine.hpp.

Constructor & Destructor Documentation

◆ OperatorSplittingSpreadEngine()

OperatorSplittingSpreadEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process1,
		ext::shared_ptr< GeneralizedBlackScholesProcess >	process2,
		Real	correlation,
		Order	order = `Second`
	)