BinomialBarrierEngine< T, D > Class Template Reference

Pricing engine for barrier options using binomial trees. More...

#include <binomialbarrierengine.hpp>

Inheritance diagram for BinomialBarrierEngine< T, D >:

Collaboration diagram for BinomialBarrierEngine< T, D >:

Public Member Functions
	BinomialBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Size timeSteps, Size maxTimeSteps=0)
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 ()=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 ()

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Size	timeSteps_
Size	maxTimeSteps_

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

template<class T, class D>
class QuantLib::BinomialBarrierEngine< T, D >

Pricing engine for barrier options using binomial trees.

Note

Timesteps for Cox-Ross-Rubinstein trees are adjusted using Boyle and Lau algorithm. See Journal of Derivatives, 1/1994, "Bumping up against the barrier with the binomial method"

Tests:

the correctness of the returned values is tested by checking it against analytic european results.

Definition at line 50 of file binomialbarrierengine.hpp.

Constructor & Destructor Documentation

BinomialBarrierEngine()

BinomialBarrierEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		Size	timeSteps,
		Size	maxTimeSteps = 0
	)

The maxTimeSteps parameter is used to limit timeSteps when using Boyle-Lau optimization. If zero (the default) the maximum number of steps is calculated by an heuristic: anything when < 1000, otherwise no more than 5*timeSteps. If maxTimeSteps is equal to timeSteps, Boyle-Lau is disabled. Likewise if the lattice is not CoxRossRubinstein Boyle-Lau is disabled and maxTimeSteps ignored.

Definition at line 61 of file binomialbarrierengine.hpp.

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Member Function Documentation

calculate()

void calculate

overridevirtual

Implements PricingEngine.

Definition at line 88 of file binomialbarrierengine.hpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 79 of file binomialbarrierengine.hpp.

timeSteps_

Size timeSteps_

private

Definition at line 80 of file binomialbarrierengine.hpp.

maxTimeSteps_

Size maxTimeSteps_

private

Definition at line 81 of file binomialbarrierengine.hpp.