FdBlackScholesVanillaEngine Class Reference

Finite-differences Black Scholes vanilla option engine. More...

#include <fdblackscholesvanillaengine.hpp>

Inheritance diagram for FdBlackScholesVanillaEngine:

Collaboration diagram for FdBlackScholesVanillaEngine:

Public Types
enum	CashDividendModel { Spot , Escrowed }

Public Member Functions
	FdBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), CashDividendModel cashDividendModel=Spot)
	FdBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, DividendSchedule dividends, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), CashDividendModel cashDividendModel=Spot)
	FdBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, ext::shared_ptr< FdmQuantoHelper > quantoHelper, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), CashDividendModel cashDividendModel=Spot)
	FdBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, DividendSchedule dividends, ext::shared_ptr< FdmQuantoHelper > quantoHelper, Size tGrid=100, Size xGrid=100, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >(), CashDividendModel cashDividendModel=Spot)
void	calculate () const override

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
DividendSchedule	dividends_
Size	tGrid_
Size	xGrid_
Size	dampingSteps_
FdmSchemeDesc	schemeDesc_
bool	localVol_
Real	illegalLocalVolOverwrite_
ext::shared_ptr< FdmQuantoHelper >	quantoHelper_
CashDividendModel	cashDividendModel_

Detailed Description

Finite-differences Black Scholes vanilla option engine.

Tests:

the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.

Definition at line 45 of file fdblackscholesvanillaengine.hpp.

Member Enumeration Documentation

CashDividendModel

enum CashDividendModel

Enumerator
Spot
Escrowed

Definition at line 47 of file fdblackscholesvanillaengine.hpp.

Constructor & Destructor Documentation

FdBlackScholesVanillaEngine() [1/4]

FdBlackScholesVanillaEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process, Size  tGrid = 100, Size  xGrid = 100, Size  dampingSteps = 0, const FdmSchemeDesc &  schemeDesc = FdmSchemeDesc::Douglas(), bool  localVol = false, Real  illegalLocalVolOverwrite = -Null<Real>(), CashDividendModel  cashDividendModel = Spot  )

explicit

Definition at line 37 of file fdblackscholesvanillaengine.cpp.

FdBlackScholesVanillaEngine() [2/4]

FdBlackScholesVanillaEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		DividendSchedule	dividends,
		Size	tGrid = 100,
		Size	xGrid = 100,
		Size	dampingSteps = 0,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Douglas(),
		bool	localVol = false,
		Real	illegalLocalVolOverwrite = -Null<Real>(),
		CashDividendModel	cashDividendModel = Spot
	)

Definition at line 52 of file fdblackscholesvanillaengine.cpp.

FdBlackScholesVanillaEngine() [3/4]

FdBlackScholesVanillaEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		ext::shared_ptr< FdmQuantoHelper >	quantoHelper,
		Size	tGrid = 100,
		Size	xGrid = 100,
		Size	dampingSteps = 0,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Douglas(),
		bool	localVol = false,
		Real	illegalLocalVolOverwrite = -Null<Real>(),
		CashDividendModel	cashDividendModel = Spot
	)

Definition at line 69 of file fdblackscholesvanillaengine.cpp.

FdBlackScholesVanillaEngine() [4/4]

FdBlackScholesVanillaEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		DividendSchedule	dividends,
		ext::shared_ptr< FdmQuantoHelper >	quantoHelper,
		Size	tGrid = 100,
		Size	xGrid = 100,
		Size	dampingSteps = 0,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::Douglas(),
		bool	localVol = false,
		Real	illegalLocalVolOverwrite = -Null<Real>(),
		CashDividendModel	cashDividendModel = Spot
	)

Definition at line 88 of file fdblackscholesvanillaengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 109 of file fdblackscholesvanillaengine.cpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 96 of file fdblackscholesvanillaengine.hpp.

dividends_

DividendSchedule dividends_

private

Definition at line 97 of file fdblackscholesvanillaengine.hpp.

tGrid_

Size tGrid_

private

Definition at line 98 of file fdblackscholesvanillaengine.hpp.

xGrid_

Size xGrid_

private

Definition at line 98 of file fdblackscholesvanillaengine.hpp.

dampingSteps_

Size dampingSteps_

private

Definition at line 98 of file fdblackscholesvanillaengine.hpp.

schemeDesc_

FdmSchemeDesc schemeDesc_

private

Definition at line 99 of file fdblackscholesvanillaengine.hpp.

localVol_

bool localVol_

private

Definition at line 100 of file fdblackscholesvanillaengine.hpp.

illegalLocalVolOverwrite_

Real illegalLocalVolOverwrite_

private

Definition at line 101 of file fdblackscholesvanillaengine.hpp.

quantoHelper_

ext::shared_ptr<FdmQuantoHelper> quantoHelper_

private

Definition at line 102 of file fdblackscholesvanillaengine.hpp.

cashDividendModel_

CashDividendModel cashDividendModel_

private

Definition at line 103 of file fdblackscholesvanillaengine.hpp.