FdCIRVanillaEngine Class Reference

Finite-differences CIR vanilla option engine. More...

#include <fdcirvanillaengine.hpp>

Inheritance diagram for FdCIRVanillaEngine:

Collaboration diagram for FdCIRVanillaEngine:

Public Member Functions
	FdCIRVanillaEngine (ext::shared_ptr< CoxIngersollRossProcess > cirProcess, ext::shared_ptr< GeneralizedBlackScholesProcess > bsProcess, Size tGrid, Size xGrid, Size vGrid, Size dampingSteps, Real rho, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::ModifiedHundsdorfer(), ext::shared_ptr< FdmQuantoHelper > quantoHelper={})
	FdCIRVanillaEngine (ext::shared_ptr< CoxIngersollRossProcess > cirProcess, ext::shared_ptr< GeneralizedBlackScholesProcess > bsProcess, DividendSchedule dividends, Size tGrid, Size xGrid, Size vGrid, Size dampingSteps, Real rho, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::ModifiedHundsdorfer(), ext::shared_ptr< FdmQuantoHelper > quantoHelper={})
void	calculate () const override
FdmSolverDesc	getSolverDesc (Real equityScaleFactor) const

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	bsProcess_
ext::shared_ptr< CoxIngersollRossProcess >	cirProcess_
ext::shared_ptr< FdmQuantoHelper >	quantoHelper_
DividendSchedule	dividends_
const Size	tGrid_
const Size	xGrid_
const Size	rGrid_
const Size	dampingSteps_
const Real	rho_
const FdmSchemeDesc	schemeDesc_

Detailed Description

Finite-differences CIR vanilla option engine.

Tests:

the engine has been tested to converge among different schemes.

Definition at line 44 of file fdcirvanillaengine.hpp.

Constructor & Destructor Documentation

FdCIRVanillaEngine() [1/2]

FdCIRVanillaEngine	(	ext::shared_ptr< CoxIngersollRossProcess >	cirProcess,
		ext::shared_ptr< GeneralizedBlackScholesProcess >	bsProcess,
		Size	tGrid,
		Size	xGrid,
		Size	vGrid,
		Size	dampingSteps,
		Real	rho,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::ModifiedHundsdorfer(),
		ext::shared_ptr< FdmQuantoHelper >	quantoHelper = {}
	)

Definition at line 35 of file fdcirvanillaengine.cpp.

FdCIRVanillaEngine() [2/2]

FdCIRVanillaEngine	(	ext::shared_ptr< CoxIngersollRossProcess >	cirProcess,
		ext::shared_ptr< GeneralizedBlackScholesProcess >	bsProcess,
		DividendSchedule	dividends,
		Size	tGrid,
		Size	xGrid,
		Size	vGrid,
		Size	dampingSteps,
		Real	rho,
		const FdmSchemeDesc &	schemeDesc = FdmSchemeDesc::ModifiedHundsdorfer(),
		ext::shared_ptr< FdmQuantoHelper >	quantoHelper = {}
	)

Definition at line 50 of file fdcirvanillaengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 111 of file fdcirvanillaengine.cpp.

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getSolverDesc()

FdmSolverDesc getSolverDesc

(

Real

equityScaleFactor

)

const

Definition at line 66 of file fdcirvanillaengine.cpp.

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Member Data Documentation

bsProcess_

ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_

private

Definition at line 72 of file fdcirvanillaengine.hpp.

cirProcess_

ext::shared_ptr<CoxIngersollRossProcess> cirProcess_

private

Definition at line 73 of file fdcirvanillaengine.hpp.

quantoHelper_

ext::shared_ptr<FdmQuantoHelper> quantoHelper_

private

Definition at line 74 of file fdcirvanillaengine.hpp.

dividends_

DividendSchedule dividends_

private

Definition at line 75 of file fdcirvanillaengine.hpp.

tGrid_

const Size tGrid_

private

Definition at line 76 of file fdcirvanillaengine.hpp.

xGrid_

const Size xGrid_

private

Definition at line 76 of file fdcirvanillaengine.hpp.

rGrid_

const Size rGrid_

private

Definition at line 76 of file fdcirvanillaengine.hpp.

dampingSteps_

const Size dampingSteps_

private

Definition at line 76 of file fdcirvanillaengine.hpp.

rho_

const Real rho_

private

Definition at line 77 of file fdcirvanillaengine.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 78 of file fdcirvanillaengine.hpp.