StulzEngine Class Reference

Pricing engine for 2D European Baskets. More...

#include <stulzengine.hpp>

Inheritance diagram for StulzEngine:

Collaboration diagram for StulzEngine:

Public Member Functions
	StulzEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Real correlation)
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 ()
	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 Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process1_
ext::shared_ptr< GeneralizedBlackScholesProcess >	process2_
Real	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 2D European Baskets.

This class implements formulae from "Options on the Minimum or the Maximum of Two Risky Assets", Rene Stulz, Journal of Financial Ecomomics (1982) 10, 161-185.

Tests:

the correctness of the returned value is tested by reproducing results available in literature.

Definition at line 44 of file stulzengine.hpp.

Constructor & Destructor Documentation

StulzEngine()

StulzEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process1,
		ext::shared_ptr< GeneralizedBlackScholesProcess >	process2,
		Real	correlation
	)

Definition at line 103 of file stulzengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 111 of file stulzengine.cpp.

Member Data Documentation

process1_

ext::shared_ptr<GeneralizedBlackScholesProcess> process1_

private

Definition at line 52 of file stulzengine.hpp.

process2_

ext::shared_ptr<GeneralizedBlackScholesProcess> process2_

private

Definition at line 53 of file stulzengine.hpp.

rho_

Real rho_

private

Definition at line 54 of file stulzengine.hpp.