QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
analyticcomplexchooserengine.hpp
Go to the documentation of this file.
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file analyticcomplexchooserengine.hpp
21 \brief Analytic engine for complex chooser option
22*/
23
24#ifndef quantlib_analytic_complex_chooser_engine_hpp
25#define quantlib_analytic_complex_chooser_engine_hpp
26
30
31namespace QuantLib {
32
34 public:
36 ext::shared_ptr<GeneralizedBlackScholesProcess> process);
37 void calculate() const override;
38
39 private:
40 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
41
42 Real strike(Option::Type optionType) const;
43 Time choosingTime() const;
44 Time putMaturity() const;
45 Time callMaturity() const;
47
48 Rate dividendYield(Time t) const;
50
51 Rate riskFreeRate(Time t) const;
53
55 Option::Type optionType) const;
56 Real criticalValue() const;
57 };
58
59}
60
61
62#endif
Black-Scholes formula calculator class.
Black-Scholes processes.
BlackScholesCalculator bsCalculator(Real spot, Option::Type optionType) const
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Black-Scholes 1973 calculator class.
Complex-chooser-option engine base class.
const DefaultType & t
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Real DiscountFactor
discount factor between dates
Definition: types.hpp:66
Real Volatility
volatility
Definition: types.hpp:78
Real Rate
interest rates
Definition: types.hpp:70
Complex chooser option.
Definition: any.hpp:35