turnbullwakemanasianengine.hpp

Go to the documentation of this file.

/*
 Copyright (C) 2021 Skandinaviska Enskilda Banken AB (publ)
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file ql/pricingengines/asian/turnbullwakemanasianengine.hpp
    \brief Turnbull Wakeman moment-matching Asian option Engine
    \ingroup asianengines
*/
 
#ifndef quantlib_turnbull_wakeman_asian_engine_hpp
#define quantlib_turnbull_wakeman_asian_engine_hpp
 
#include <ql/instruments/asianoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
 
namespace QuantLib {
 
    /*! Turnbull Wakeman two moment-matching Asian option Engine
        Analytical pricing based on the two-moment Turnbull-Wakeman
        approximation.
        References: "Commodity Option Pricing", Iain Clark, Wiley, section 2.7.4.
                    "Option Pricing Formulas, Second Edition", E.G. Haug, 2006, pp. 192-202.
                    Some parts of the implementation were modeled after calculations from the
                    CommodityAveragePriceOptionAnalyticalEngine class in Open Source Risk Engine
                    (https://github.com/OpenSourceRisk/Engine).
 
        \test
        - the correctness of the returned value is tested by reproducing
          results in literature with flat as well as upward and downward
          sloping volatility term structures.
        - the pricing of trades with guaranteed exercise/OTM is also tested.
    */
    class TurnbullWakemanAsianEngine : public DiscreteAveragingAsianOption::engine {
      public:
        explicit TurnbullWakemanAsianEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process)
        : process_(std::move(process)) {
            registerWith(process_);
        }
 
        void calculate() const override;
 
      private:
        ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
    };
 
}
 
#endif