QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Analytic engine for barrier option on two assets. More...
#include <analytictwoassetbarrierengine.hpp>
Public Member Functions | |
AnalyticTwoAssetBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Handle< Quote > rho) | |
void | calculate () const override |
Public Member Functions inherited from GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::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 Member Functions | |
Real | underlying1 () const |
Real | underlying2 () const |
Real | strike () const |
Time | residualTime () const |
Volatility | volatility1 () const |
Volatility | volatility2 () const |
Real | barrier () const |
Real | rho () const |
Rate | riskFreeRate () const |
Rate | dividendYield1 () const |
Rate | dividendYield2 () const |
Rate | costOfCarry1 () const |
Rate | costOfCarry2 () const |
Real | mu (Real b, Real vol) const |
Real | d1 () const |
Real | d2 () const |
Real | d3 () const |
Real | d4 () const |
Real | e1 () const |
Real | e2 () const |
Real | e3 () const |
Real | e4 () const |
Real | call () const |
Real | put () const |
Real | A (Real eta, Real phi) const |
Real | B (Real eta, Real phi) const |
Real | M (Real m_a, Real m_b, Real rho) const |
Private Attributes | |
ext::shared_ptr< GeneralizedBlackScholesProcess > | process1_ |
ext::shared_ptr< GeneralizedBlackScholesProcess > | process2_ |
Handle< Quote > | rho_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from TwoAssetBarrierOption::engine | |
bool | triggered (Real underlying) const |
Protected Attributes inherited from GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > | |
TwoAssetBarrierOption::arguments | arguments_ |
TwoAssetBarrierOption::results | results_ |
Analytic engine for barrier option on two assets.
The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill,
Definition at line 41 of file analytictwoassetbarrierengine.hpp.
AnalyticTwoAssetBarrierEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process1, |
ext::shared_ptr< GeneralizedBlackScholesProcess > | process2, | ||
Handle< Quote > | rho | ||
) |
Definition at line 28 of file analytictwoassetbarrierengine.cpp.
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Implements PricingEngine.
Definition at line 38 of file analytictwoassetbarrierengine.cpp.
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