AnalyticContinuousFloatingLookbackEngine Class Reference

Pricing engine for European continuous floating-strike lookback. More...

#include <analyticcontinuousfloatinglookback.hpp>

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Public Member Functions
	AnalyticContinuousFloatingLookbackEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
void	calculate () const override
Public Member Functions inherited from GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::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
Time	residualTime () const
Volatility	volatility () const
Real	minmax () const
Real	stdDeviation () const
Rate	riskFreeRate () const
DiscountFactor	riskFreeDiscount () const
Rate	dividendYield () const
DiscountFactor	dividendDiscount () const
Real	A (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 Attributes inherited from GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results >
ContinuousFloatingLookbackOption::arguments	arguments_
ContinuousFloatingLookbackOption::results	results_

Detailed Description

Pricing engine for European continuous floating-strike lookback.

Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.61-62

Tests:

returned values verified against results from literature

Definition at line 42 of file analyticcontinuousfloatinglookback.hpp.

Constructor & Destructor Documentation

AnalyticContinuousFloatingLookbackEngine()

AnalyticContinuousFloatingLookbackEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 27 of file analyticcontinuousfloatinglookback.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 33 of file analyticcontinuousfloatinglookback.cpp.

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underlying()

Real underlying ( ) const

private

Definition at line 53 of file analyticcontinuousfloatinglookback.cpp.

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residualTime()

Time residualTime ( ) const

private

Definition at line 57 of file analyticcontinuousfloatinglookback.cpp.

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volatility()

Volatility volatility ( ) const

private

Definition at line 61 of file analyticcontinuousfloatinglookback.cpp.

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minmax()

Real minmax ( ) const

private

Definition at line 89 of file analyticcontinuousfloatinglookback.cpp.

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stdDeviation()

Real stdDeviation ( ) const

private

Definition at line 65 of file analyticcontinuousfloatinglookback.cpp.

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riskFreeRate()

Rate riskFreeRate ( ) const

private

Definition at line 69 of file analyticcontinuousfloatinglookback.cpp.

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riskFreeDiscount()

DiscountFactor riskFreeDiscount ( ) const

private

Definition at line 74 of file analyticcontinuousfloatinglookback.cpp.

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dividendYield()

Rate dividendYield ( ) const

private

Definition at line 79 of file analyticcontinuousfloatinglookback.cpp.

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dividendDiscount()

DiscountFactor dividendDiscount ( ) const

private

Definition at line 84 of file analyticcontinuousfloatinglookback.cpp.

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A()

Real A ( Real  eta ) const

private

Definition at line 93 of file analyticcontinuousfloatinglookback.cpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 50 of file analyticcontinuousfloatinglookback.hpp.

f_

CumulativeNormalDistribution f_

private

Definition at line 51 of file analyticcontinuousfloatinglookback.hpp.