QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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analyticholderextensibleoptionengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file analyticholderextensibleoptionengine.hpp
21 \brief Analytic engine for holder-extensible options
22*/
23
24#ifndef quantlib_analytic_holder_extensible_option_engine_hpp
25#define quantlib_analytic_holder_extensible_option_engine_hpp
26
30
31namespace QuantLib {
32
35 public:
37 ext::shared_ptr<GeneralizedBlackScholesProcess> process);
38 void calculate() const override;
39
40 private:
41 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
42 Real strike() const;
43 Time firstExpiryTime() const;
44 Time secondExpiryTime() const;
45 Volatility volatility() const;
46 Rate riskFreeRate() const;
47 Rate dividendYield() const;
50 Real I1Call() const;
51 Real I2Call() const;
52 Real I1Put() const;
53 Real I2Put() const;
55 Real M2(Real a, Real b, Real c, Real d, Real rho) const;
56 Real N2(Real a, Real b) const;
57 Real y1(Option::Type) const;
58 Real y2(Option::Type) const;
59 Real z1() const;
60 Real z2() const;
61 };
62
63}
64
65
66#endif
Black-Scholes formula calculator class.
Black-Scholes processes.
BlackScholesCalculator bsCalculator(Real spot, Option::Type optionType) const
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Real M2(Real a, Real b, Real c, Real d, Real rho) const
Black-Scholes 1973 calculator class.
const DefaultType & t
Date d
ext::function< Real(Real)> b
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Real DiscountFactor
discount factor between dates
Definition: types.hpp:66
Real Volatility
volatility
Definition: types.hpp:78
Real Rate
interest rates
Definition: types.hpp:70
Real rho
Holder-extensible option.
Definition: any.hpp:35