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 | ) |
Member Function Documentation
◆ calculate()
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overridevirtual |
Implements PricingEngine.
Definition at line 36 of file analyticbarrierengine.cpp.
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◆ underlying()
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private |
Definition at line 117 of file analyticbarrierengine.cpp.
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◆ strike()
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private |
Definition at line 121 of file analyticbarrierengine.cpp.
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◆ volatility()
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private |
Definition at line 128 of file analyticbarrierengine.cpp.
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◆ barrier()
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private |
Definition at line 140 of file analyticbarrierengine.cpp.
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◆ rebate()
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private |
Definition at line 144 of file analyticbarrierengine.cpp.
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◆ stdDeviation()
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private |
Definition at line 134 of file analyticbarrierengine.cpp.
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◆ riskFreeRate()
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private |
Definition at line 148 of file analyticbarrierengine.cpp.
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◆ riskFreeDiscount()
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private |
Definition at line 155 of file analyticbarrierengine.cpp.
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◆ dividendYield()
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private |
Definition at line 160 of file analyticbarrierengine.cpp.
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◆ dividendDiscount()
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private |
Definition at line 167 of file analyticbarrierengine.cpp.
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◆ mu()
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private |
Definition at line 172 of file analyticbarrierengine.cpp.
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◆ muSigma()
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private |
Definition at line 177 of file analyticbarrierengine.cpp.
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◆ A()
Definition at line 181 of file analyticbarrierengine.cpp.
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◆ B()
Definition at line 191 of file analyticbarrierengine.cpp.
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◆ C()
Definition at line 200 of file analyticbarrierengine.cpp.
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◆ D()
Definition at line 213 of file analyticbarrierengine.cpp.
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◆ E()
Definition at line 226 of file analyticbarrierengine.cpp.
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◆ F()
Member Data Documentation
◆ process_
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private |
Definition at line 52 of file analyticbarrierengine.hpp.
◆ f_
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private |
Definition at line 53 of file analyticbarrierengine.hpp.