QuantLib: a free/open-source library for quantitative finance
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baroneadesiwhaleyengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003, 2004 Ferdinando Ametrano
5 Copyright (C) 2007 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file baroneadesiwhaleyengine.hpp
22 \brief Barone-Adesi and Whaley approximation engine
23*/
24
25#ifndef quantlib_barone_adesi_whaley_engine_hpp
26#define quantlib_barone_adesi_whaley_engine_hpp
27
30
31namespace QuantLib {
32
33 //! Barone-Adesi and Whaley pricing engine for American options (1987)
34 /*! \ingroup vanillaengines
35
36 \test the correctness of the returned value is tested by
37 reproducing results available in literature.
38 */
40 : public VanillaOption::engine {
41 public:
42 BaroneAdesiWhaleyApproximationEngine(ext::shared_ptr<GeneralizedBlackScholesProcess>);
43 static Real criticalPrice(
44 const ext::shared_ptr<StrikedTypePayoff>& payoff,
45 DiscountFactor riskFreeDiscount,
46 DiscountFactor dividendDiscount,
48 Real tolerance = 1e-6);
49 void calculate() const override;
50
51 private:
52 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
53 };
54
55}
56
57
58#endif
Black-Scholes processes.
Barone-Adesi and Whaley pricing engine for American options (1987)
static Real criticalPrice(const ext::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6)
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
LinearInterpolation variance
QL_REAL Real
real number
Definition: types.hpp:50
Real DiscountFactor
discount factor between dates
Definition: types.hpp:66
ext::shared_ptr< QuantLib::Payoff > payoff
Definition: any.hpp:35
Vanilla option on a single asset.