AnalyticContinuousPartialFixedLookbackEngine Class Reference

Pricing engine for European continuous partial-time fixed-strike lookback options. More...

#include <analyticcontinuouspartialfixedlookback.hpp>

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Public Member Functions
	AnalyticContinuousPartialFixedLookbackEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
void	calculate () const override
Public Member Functions inherited from GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::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	underlying () const
Real	strike () const
Time	residualTime () const
Volatility	volatility () const
Time	lookbackPeriodStartTime () const
Real	stdDeviation () const
Rate	riskFreeRate () const
DiscountFactor	riskFreeDiscount () const
Rate	dividendYield () const
DiscountFactor	dividendDiscount () const
Real	A (Real eta) const

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
CumulativeNormalDistribution	f_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results >
ContinuousPartialFixedLookbackOption::arguments	arguments_
ContinuousPartialFixedLookbackOption::results	results_

Detailed Description

Pricing engine for European continuous partial-time fixed-strike lookback options.

Formula from "Option Pricing Formulas, Second Edition", E.G. Haug, 2006, p.148

Tests:

returned values are verified against results from literature

Definition at line 44 of file analyticcontinuouspartialfixedlookback.hpp.

Constructor & Destructor Documentation

AnalyticContinuousPartialFixedLookbackEngine()

AnalyticContinuousPartialFixedLookbackEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 27 of file analyticcontinuouspartialfixedlookback.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 33 of file analyticcontinuouspartialfixedlookback.cpp.

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underlying()

Real underlying ( ) const

private

Definition at line 58 of file analyticcontinuouspartialfixedlookback.cpp.

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strike()

Real strike ( ) const

private

Definition at line 62 of file analyticcontinuouspartialfixedlookback.cpp.

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residualTime()

Time residualTime ( ) const

private

Definition at line 69 of file analyticcontinuouspartialfixedlookback.cpp.

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volatility()

Volatility volatility ( ) const

private

Definition at line 73 of file analyticcontinuouspartialfixedlookback.cpp.

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lookbackPeriodStartTime()

Time lookbackPeriodStartTime ( ) const

private

Definition at line 101 of file analyticcontinuouspartialfixedlookback.cpp.

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stdDeviation()

Real stdDeviation ( ) const

private

Definition at line 77 of file analyticcontinuouspartialfixedlookback.cpp.

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riskFreeRate()

Rate riskFreeRate ( ) const

private

Definition at line 81 of file analyticcontinuouspartialfixedlookback.cpp.

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riskFreeDiscount()

DiscountFactor riskFreeDiscount ( ) const

private

Definition at line 86 of file analyticcontinuouspartialfixedlookback.cpp.

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dividendYield()

Rate dividendYield ( ) const

private

Definition at line 91 of file analyticcontinuouspartialfixedlookback.cpp.

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dividendDiscount()

DiscountFactor dividendDiscount ( ) const

private

Definition at line 96 of file analyticcontinuouspartialfixedlookback.cpp.

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A()

Real A ( Real  eta ) const

private

Definition at line 105 of file analyticcontinuouspartialfixedlookback.cpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 52 of file analyticcontinuouspartialfixedlookback.hpp.

f_

CumulativeNormalDistribution f_

private

Definition at line 53 of file analyticcontinuouspartialfixedlookback.hpp.