AnalyticBarrierEngine Class Reference

Pricing engine for barrier options using analytical formulae. More...

#include <analyticbarrierengine.hpp>

Inheritance diagram for AnalyticBarrierEngine:

Collaboration diagram for AnalyticBarrierEngine:

Public Member Functions
	AnalyticBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
void	calculate () const override
Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::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 ()
	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 ()

Private Member Functions
Real	underlying () const
Real	strike () const
Volatility	volatility () const
Real	barrier () const
Real	rebate () const
Real	stdDeviation () const
Rate	riskFreeRate () const
DiscountFactor	riskFreeDiscount () const
Rate	dividendYield () const
DiscountFactor	dividendDiscount () const
Rate	mu () const
Real	muSigma () const
Real	A (Real phi) const
Real	B (Real phi) const
Real	C (Real eta, Real phi) const
Real	D (Real eta, Real phi) const
Real	E (Real eta) const
Real	F (Real eta) const

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
CumulativeNormalDistribution	f_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from BarrierOption::engine
bool	triggered (Real underlying) const
Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
BarrierOption::arguments	arguments_
BarrierOption::results	results_

Detailed Description

Pricing engine for barrier options using analytical formulae.

The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill, p.69 and following.

Tests:

the correctness of the returned value is tested by reproducing results available in literature.

Definition at line 46 of file analyticbarrierengine.hpp.

Constructor & Destructor Documentation

AnalyticBarrierEngine()

AnalyticBarrierEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 30 of file analyticbarrierengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 36 of file analyticbarrierengine.cpp.

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underlying()

Real underlying ( ) const

private

Definition at line 117 of file analyticbarrierengine.cpp.

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strike()

Real strike ( ) const

private

Definition at line 121 of file analyticbarrierengine.cpp.

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volatility()

Volatility volatility ( ) const

private

Definition at line 128 of file analyticbarrierengine.cpp.

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barrier()

Real barrier ( ) const

private

Definition at line 140 of file analyticbarrierengine.cpp.

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rebate()

Real rebate ( ) const

private

Definition at line 144 of file analyticbarrierengine.cpp.

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stdDeviation()

Real stdDeviation ( ) const

private

Definition at line 134 of file analyticbarrierengine.cpp.

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riskFreeRate()

Rate riskFreeRate ( ) const

private

Definition at line 148 of file analyticbarrierengine.cpp.

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riskFreeDiscount()

DiscountFactor riskFreeDiscount ( ) const

private

Definition at line 155 of file analyticbarrierengine.cpp.

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dividendYield()

Rate dividendYield ( ) const

private

Definition at line 160 of file analyticbarrierengine.cpp.

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dividendDiscount()

DiscountFactor dividendDiscount ( ) const

private

Definition at line 167 of file analyticbarrierengine.cpp.

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mu()

Rate mu ( ) const

private

Definition at line 172 of file analyticbarrierengine.cpp.

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muSigma()

Real muSigma ( ) const

private

Definition at line 177 of file analyticbarrierengine.cpp.

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A()

Real A ( Real  phi ) const

private

Definition at line 181 of file analyticbarrierengine.cpp.

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B()

Real B ( Real  phi ) const

private

Definition at line 191 of file analyticbarrierengine.cpp.

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C()

Real C ( Real  eta, Real  phi  ) const

private

Definition at line 200 of file analyticbarrierengine.cpp.

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D()

Real D ( Real  eta, Real  phi  ) const

private

Definition at line 213 of file analyticbarrierengine.cpp.

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E()

Real E ( Real  eta ) const

private

Definition at line 226 of file analyticbarrierengine.cpp.

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F()

Real F ( Real  eta ) const

private

Definition at line 243 of file analyticbarrierengine.cpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 52 of file analyticbarrierengine.hpp.

f_

CumulativeNormalDistribution f_

private

Definition at line 53 of file analyticbarrierengine.hpp.