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Public Member Functions | Protected Member Functions | Private Attributes | List of all members
ContinuousArithmeticAsianVecerEngine Class Reference

Vecer engine for continuous-avaeraging Asian options. More...

#include <continuousarithmeticasianvecerengine.hpp>

+ Inheritance diagram for ContinuousArithmeticAsianVecerEngine:
+ Collaboration diagram for ContinuousArithmeticAsianVecerEngine:

Public Member Functions

 ContinuousArithmeticAsianVecerEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Handle< Quote > currentAverage, Date startDate, Size timeSteps=100, Size assetSteps=100, Real z_min=-1.0, Real z_max=1.0)
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 ()
 

Protected Member Functions

Real cont_strategy (Time t, Time T1, Time T2, Real v, Real r) const
 

Private Attributes

ext::shared_ptr< GeneralizedBlackScholesProcessprocess_
 
Handle< QuotecurrentAverage_
 
Date startDate_
 
Real z_min_
 
Real z_max_
 
Size timeSteps_
 
Size assetSteps_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >
ContinuousAveragingAsianOption::arguments arguments_
 
ContinuousAveragingAsianOption::results results_
 

Detailed Description

Vecer engine for continuous-avaeraging Asian options.

See http://www.stat.columbia.edu/~vecer/asian-vecer.pdf

Definition at line 34 of file continuousarithmeticasianvecerengine.hpp.

Constructor & Destructor Documentation

◆ ContinuousArithmeticAsianVecerEngine()

ContinuousArithmeticAsianVecerEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess process,
Handle< Quote currentAverage,
Date  startDate,
Size  timeSteps = 100,
Size  assetSteps = 100,
Real  z_min = -1.0,
Real  z_max = 1.0 
)

Definition at line 35 of file continuousarithmeticasianvecerengine.cpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 50 of file continuousarithmeticasianvecerengine.cpp.

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◆ cont_strategy()

Real cont_strategy ( Time  t,
Time  T1,
Time  T2,
Real  v,
Real  r 
) const
protected

Definition at line 210 of file continuousarithmeticasianvecerengine.cpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_
private

Definition at line 51 of file continuousarithmeticasianvecerengine.hpp.

◆ currentAverage_

Handle<Quote> currentAverage_
private

Definition at line 52 of file continuousarithmeticasianvecerengine.hpp.

◆ startDate_

Date startDate_
private

Definition at line 53 of file continuousarithmeticasianvecerengine.hpp.

◆ z_min_

Real z_min_
private

Definition at line 54 of file continuousarithmeticasianvecerengine.hpp.

◆ z_max_

Real z_max_
private

Definition at line 55 of file continuousarithmeticasianvecerengine.hpp.

◆ timeSteps_

Size timeSteps_
private

Definition at line 56 of file continuousarithmeticasianvecerengine.hpp.

◆ assetSteps_

Size assetSteps_
private

Definition at line 57 of file continuousarithmeticasianvecerengine.hpp.