AnalyticDoubleBarrierEngine Class Reference

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

#include <analyticdoublebarrierengine.hpp>

Inheritance diagram for AnalyticDoubleBarrierEngine:

Collaboration diagram for AnalyticDoubleBarrierEngine:

Public Member Functions
	AnalyticDoubleBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, int series=5)
void	calculate () const override
Public Member Functions inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::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 Member Functions
Real	underlying () const
Real	strike () const
Time	residualTime () const
Volatility	volatility () const
Real	volatilitySquared () const
Real	barrierLo () const
Real	barrierHi () const
Real	stdDeviation () const
Rate	riskFreeRate () const
DiscountFactor	riskFreeDiscount () const
Rate	dividendYield () const
Rate	costOfCarry () const
DiscountFactor	dividendDiscount () const
Real	vanillaEquivalent () const
Real	callKO () const
Real	putKO () const
Real	callKI () const
Real	putKI () const

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

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

Detailed Description

Pricing engine for double barrier european options using analytical formulae.

The formulas are taken from "The complete guide to option pricing formulas 2nd Ed", E.G. Haug, McGraw-Hill, p.156 and following. Implements the Ikeda and Kunitomo series (see "Pricing Options with Curved Boundaries" Mathematical Finance 2/1992"). This code handles only flat barriers

Note

the formula holds only when strike is in the barrier range

Tests:

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

Definition at line 49 of file analyticdoublebarrierengine.hpp.

Constructor & Destructor Documentation

AnalyticDoubleBarrierEngine()

AnalyticDoubleBarrierEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process, int  series = 5  )

explicit

Definition at line 27 of file analyticdoublebarrierengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 33 of file analyticdoublebarrierengine.cpp.

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underlying()

Real underlying ( ) const

private

Definition at line 100 of file analyticdoublebarrierengine.cpp.

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strike()

Real strike ( ) const

private

Definition at line 104 of file analyticdoublebarrierengine.cpp.

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residualTime()

Time residualTime ( ) const

private

Definition at line 111 of file analyticdoublebarrierengine.cpp.

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volatility()

Volatility volatility ( ) const

private

Definition at line 115 of file analyticdoublebarrierengine.cpp.

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volatilitySquared()

Real volatilitySquared ( ) const

private

Definition at line 119 of file analyticdoublebarrierengine.cpp.

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barrierLo()

Real barrierLo ( ) const

private

Definition at line 127 of file analyticdoublebarrierengine.cpp.

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barrierHi()

Real barrierHi ( ) const

private

Definition at line 131 of file analyticdoublebarrierengine.cpp.

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stdDeviation()

Real stdDeviation ( ) const

private

Definition at line 123 of file analyticdoublebarrierengine.cpp.

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riskFreeRate()

Rate riskFreeRate ( ) const

private

Definition at line 135 of file analyticdoublebarrierengine.cpp.

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riskFreeDiscount()

DiscountFactor riskFreeDiscount ( ) const

private

Definition at line 140 of file analyticdoublebarrierengine.cpp.

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dividendYield()

Rate dividendYield ( ) const

private

Definition at line 144 of file analyticdoublebarrierengine.cpp.

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costOfCarry()

Rate costOfCarry ( ) const

private

Definition at line 153 of file analyticdoublebarrierengine.cpp.

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dividendDiscount()

DiscountFactor dividendDiscount ( ) const

private

Definition at line 149 of file analyticdoublebarrierengine.cpp.

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vanillaEquivalent()

Real vanillaEquivalent ( ) const

private

Definition at line 157 of file analyticdoublebarrierengine.cpp.

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callKO()

Real callKO ( ) const

private

Definition at line 169 of file analyticdoublebarrierengine.cpp.

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putKO()

Real putKO ( ) const

private

Definition at line 205 of file analyticdoublebarrierengine.cpp.

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callKI()

Real callKI ( ) const

private

Definition at line 200 of file analyticdoublebarrierengine.cpp.

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putKI()

Real putKI ( ) const

private

Definition at line 236 of file analyticdoublebarrierengine.cpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 56 of file analyticdoublebarrierengine.hpp.

f_

CumulativeNormalDistribution f_

private

Definition at line 57 of file analyticdoublebarrierengine.hpp.

series_

int series_

private

Definition at line 58 of file analyticdoublebarrierengine.hpp.