Pricing engine for basket option on multiple underlyings. More...

#include <denglizhoubasketengine.hpp>

Inheritance diagram for DengLiZhouBasketEngine:

Collaboration diagram for DengLiZhouBasketEngine:

Public Member Functions
	DengLiZhouBasketEngine (std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > > processes, Matrix rho)

void	calculate () const override

Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::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 ()

Static Private Member Functions
static Real	calculate_vanilla_call (const Array &s, DiscountFactor dr, const Array &dq, const Array &v, const Matrix &rho, Time T)

static Real	I (Real u, Real tF2, const Matrix &D, const Matrix &DF, Size i)

Private Attributes
const Size	n_

const std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > >	processes_

const Matrix	rho_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments	arguments_

BasketOption::results	results_

Detailed Description

Pricing engine for basket option on multiple underlyings.

This class implements the pricing formula from "Multi-asset Spread Option Pricing and Hedging", S. Deng, M. Li, J.Zhou, 2008 https://mpra.ub.uni-muenchen.de/8259/1/MPRA_paper_8259.pdf

The typo in formula (37) for J^2 is corrected

This pricing formula only works if exactly one asset weight is positive. If more than one weight is positive then a mapping of the sum of correlated log-normal processes onto one log-normal process has to be carried out. This implementation is using: "WKB Approximation for the Sum of Two Correlated Lognormal Random Variables", C.F. Lo 2013 https://www.m-hikari.com/ams/ams-2013/ams-125-128-2013/loAMS125-128-2013.pdf for this task.