Analytic engine for barrier option on two assets. More...

#include <analytictwoassetbarrierengine.hpp>

Inheritance diagram for AnalyticTwoAssetBarrierEngine:

Collaboration diagram for AnalyticTwoAssetBarrierEngine:

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 ()=default

	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_

Detailed Description

Analytic engine for barrier option on two assets.

The formulas by Heynen and Kat are taken from Haug, "Option pricing formulas".

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

Definition at line 41 of file analytictwoassetbarrierengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticTwoAssetBarrierEngine()

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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Member Function Documentation

◆ calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 38 of file analytictwoassetbarrierengine.cpp.

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◆ underlying1()

Real underlying1 ( ) const

private

Definition at line 89 of file analytictwoassetbarrierengine.cpp.

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◆ underlying2()

Real underlying2 ( ) const

private

Definition at line 93 of file analytictwoassetbarrierengine.cpp.

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◆ strike()

Real strike ( ) const

private

Definition at line 97 of file analytictwoassetbarrierengine.cpp.

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◆ residualTime()

Time residualTime ( ) const

private

Definition at line 104 of file analytictwoassetbarrierengine.cpp.

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◆ volatility1()

Volatility volatility1 ( ) const

private

Definition at line 108 of file analytictwoassetbarrierengine.cpp.

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◆ volatility2()

Volatility volatility2 ( ) const

private

Definition at line 112 of file analytictwoassetbarrierengine.cpp.

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◆ barrier()

Real barrier ( ) const

private

Definition at line 116 of file analytictwoassetbarrierengine.cpp.

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◆ rho()

Real rho ( ) const

private

Definition at line 120 of file analytictwoassetbarrierengine.cpp.

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◆ riskFreeRate()

Rate riskFreeRate ( ) const

private

Definition at line 124 of file analytictwoassetbarrierengine.cpp.

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◆ dividendYield1()

Rate dividendYield1 ( ) const

private

Definition at line 130 of file analytictwoassetbarrierengine.cpp.

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◆ dividendYield2()

Rate dividendYield2 ( ) const

private

Definition at line 135 of file analytictwoassetbarrierengine.cpp.

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◆ costOfCarry1()

Rate costOfCarry1 ( ) const

private

Definition at line 140 of file analytictwoassetbarrierengine.cpp.

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◆ costOfCarry2()

Rate costOfCarry2 ( ) const

private

Definition at line 144 of file analytictwoassetbarrierengine.cpp.

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◆ mu()

Real mu	(	Real	b,
		Real	vol
	)		const

private

Definition at line 182 of file analytictwoassetbarrierengine.cpp.

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◆ d1()

Real d1 ( ) const

private

Definition at line 148 of file analytictwoassetbarrierengine.cpp.

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◆ d2()

Real d2 ( ) const

private

Definition at line 153 of file analytictwoassetbarrierengine.cpp.

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◆ d3()

Real d3 ( ) const

private

Definition at line 157 of file analytictwoassetbarrierengine.cpp.

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◆ d4()

Real d4 ( ) const

private

Definition at line 161 of file analytictwoassetbarrierengine.cpp.

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◆ e1()

Real e1 ( ) const

private

Definition at line 165 of file analytictwoassetbarrierengine.cpp.

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◆ e2()

Real e2 ( ) const

private

Definition at line 170 of file analytictwoassetbarrierengine.cpp.

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◆ e3()

Real e3 ( ) const

private

Definition at line 174 of file analytictwoassetbarrierengine.cpp.

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◆ e4()

Real e4 ( ) const

private

Definition at line 178 of file analytictwoassetbarrierengine.cpp.

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◆ call()

Real call ( ) const

private

Definition at line 186 of file analytictwoassetbarrierengine.cpp.

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◆ put()

Real put ( ) const

private

Definition at line 191 of file analytictwoassetbarrierengine.cpp.

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◆ A()

Real A	(	Real	eta,
		Real	phi
	)		const

private

Definition at line 196 of file analytictwoassetbarrierengine.cpp.

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◆ B()

Real B	(	Real	eta,
		Real	phi
	)		const

private

Definition at line 234 of file analytictwoassetbarrierengine.cpp.

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◆ M()

Real M	(	Real	m_a,
		Real	m_b,
		Real	rho
	)		const

private

Definition at line 238 of file analytictwoassetbarrierengine.cpp.

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Member Data Documentation

◆ process1_

ext::shared_ptr<GeneralizedBlackScholesProcess> process1_

private

Definition at line 50 of file analytictwoassetbarrierengine.hpp.

◆ process2_

ext::shared_ptr<GeneralizedBlackScholesProcess> process2_

private

Definition at line 51 of file analytictwoassetbarrierengine.hpp.

◆ rho_

Handle<Quote> rho_

private

Definition at line 52 of file analytictwoassetbarrierengine.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ AnalyticTwoAssetBarrierEngine()

Member Function Documentation

◆ calculate()

◆ underlying1()

◆ underlying2()

◆ strike()

◆ residualTime()

◆ volatility1()

◆ volatility2()

◆ barrier()

◆ rho()

◆ riskFreeRate()

◆ dividendYield1()

◆ dividendYield2()

◆ costOfCarry1()

◆ costOfCarry2()

◆ mu()

◆ d1()

◆ d2()

◆ d3()

◆ d4()

◆ e1()

◆ e2()

◆ e3()

◆ e4()

◆ call()

◆ put()

◆ A()

◆ B()

◆ M()

Member Data Documentation

◆ process1_

◆ process2_

◆ rho_