Finite-differences Black/Scholes barrier-option engine. More...

#include <fdblackscholesbarrierengine.hpp>

Inheritance diagram for FdBlackScholesBarrierEngine:

Collaboration diagram for FdBlackScholesBarrierEngine:

Public Member Functions
	FdBlackScholesBarrierEngine (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 >())

	FdBlackScholesBarrierEngine (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 >())

void	calculate () const override

Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::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 Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

DividendSchedule	dividends_

Size	tGrid_

Size	xGrid_

Size	dampingSteps_

FdmSchemeDesc	schemeDesc_

bool	localVol_

Real	illegalLocalVolOverwrite_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from BarrierOption::engine
bool	triggered (Real underlying) const

Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
BarrierOption::arguments	arguments_

BarrierOption::results	results_

Detailed Description

Finite-differences Black/Scholes barrier-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 42 of file fdblackscholesbarrierengine.hpp.

Constructor & Destructor Documentation

◆ FdBlackScholesBarrierEngine() [1/2]

FdBlackScholesBarrierEngine	(	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>()`
	)

explicit

Definition at line 40 of file fdblackscholesbarrierengine.cpp.

Here is the call graph for this function:

◆ FdBlackScholesBarrierEngine() [2/2]

FdBlackScholesBarrierEngine	(	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>()`
	)