Vanilla option (no discrete dividends, no barriers) on a single asset. More...

#include <vanillaoption.hpp>

Inheritance diagram for VanillaOption:

Collaboration diagram for VanillaOption:

Public Member Functions
	VanillaOption (const ext::shared_ptr< StrikedTypePayoff > &, const ext::shared_ptr< Exercise > &)

Volatility	impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const

Volatility	impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const DividendSchedule &dividends, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const

Public Member Functions inherited from OneAssetOption
	OneAssetOption (const ext::shared_ptr< Payoff > &, const ext::shared_ptr< Exercise > &)

bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...

Real	delta () const

Real	deltaForward () const

Real	elasticity () const

Real	gamma () const

Real	theta () const

Real	thetaPerDay () const

Real	vega () const

Real	rho () const

Real	dividendRho () const

Real	strikeSensitivity () const

Real	itmCashProbability () const

void	fetchResults (const PricingEngine::results *) const override

Public Member Functions inherited from Option
	Option (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< Exercise > exercise)

void	setupArguments (PricingEngine::arguments *) const override

ext::shared_ptr< Payoff >	payoff () const

ext::shared_ptr< Exercise >	exercise () const

Public Member Functions inherited from Instrument
	Instrument ()

Real	NPV () const
	returns the net present value of the instrument. More...

Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...

const Date &	valuationDate () const
	returns the date the net present value refers to. More...

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...

const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

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 ()

Additional Inherited Members
Public Types inherited from Option
enum	Type { Put = -1 , Call = 1 }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from OneAssetOption
void	setupExpired () const override

Protected Member Functions inherited from Instrument
void	calculate () const override

void	performCalculations () const override

Protected Member Functions inherited from LazyObject
Protected Attributes inherited from OneAssetOption
Real	delta_

Real	deltaForward_

Real	elasticity_

Real	gamma_

Real	theta_

Real	thetaPerDay_

Real	vega_

Real	rho_

Real	dividendRho_

Real	strikeSensitivity_

Real	itmCashProbability_

Protected Attributes inherited from Option
ext::shared_ptr< Payoff >	payoff_

ext::shared_ptr< Exercise >	exercise_

Protected Attributes inherited from Instrument
Real	NPV_

Real	errorEstimate_

Date	valuationDate_

std::map< std::string, ext::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Related Functions inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

Detailed Description

Vanilla option (no discrete dividends, no barriers) on a single asset.

Examples: EquityOption.cpp.

Definition at line 38 of file vanillaoption.hpp.

Constructor & Destructor Documentation

◆ VanillaOption()

VanillaOption	(	const ext::shared_ptr< StrikedTypePayoff > &	payoff,
		const ext::shared_ptr< Exercise > &	exercise
	)

Definition at line 32 of file vanillaoption.cpp.

Member Function Documentation

◆ impliedVolatility() [1/2]

Volatility impliedVolatility	(	Real	price,
		const ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		Real	accuracy = `1.0e-4`,
		Size	maxEvaluations = `100`,
		Volatility	minVol = `1.0e-7`,
		Volatility	maxVol = `4.0`
	)		const

Warning:: currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give unconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

Warning:: options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.

Definition at line 38 of file vanillaoption.cpp.

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◆ impliedVolatility() [2/2]

Volatility impliedVolatility	(	Real	price,
		const ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		const DividendSchedule &	dividends,
		Real	accuracy = `1.0e-4`,
		Size	maxEvaluations = `100`,
		Volatility	minVol = `1.0e-7`,
		Volatility	maxVol = `4.0`
	)		const

Definition at line 49 of file vanillaoption.cpp.