QuantLib: a free/open-source library for quantitative finance
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analyticpartialtimebarrieroptionengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2014 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file analyticpartialtimebarrieroptionengine.hpp
21 \brief Analytic engine for partial-time barrier options
22*/
23
24#ifndef quantlib_analytic_partial_time_barrier_option_engine_hpp
25#define quantlib_analytic_partial_time_barrier_option_engine_hpp
26
29
30namespace QuantLib {
31
34 public:
36 ext::shared_ptr<GeneralizedBlackScholesProcess> process);
37 void calculate() const override;
38
39 private:
40 ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
41 Real underlying() const;
42 Real strike() const;
43 Time residualTime() const;
44 Time coverEventTime() const;
46 Real barrier() const;
47 Real rebate() const;
48 Real stdDeviation() const;
49 Rate riskFreeRate() const;
51 Rate dividendYield() const;
53 Real M(Real a,Real b,Real rho) const;
54 Real d1()const;
55 Real d2()const;
56 Real e1() const;
57 Real e2() const;
58 Real e3() const;
59 Real e4() const;
60 Real f1() const;
61 Real f2() const;
62 Real rho() const;
63 Rate mu() const;
64 Real CoB2(PartialBarrier::Type barrierType) const;
65 Real CoB1() const;
66 Real CA(Integer n) const;
67 Real CIA(Integer n) const;
68 Real g1()const;
69 Real g2()const;
70 Real g3()const;
71 Real g4()const;
72 Real HS(Real S, Real H, Real power)const;
73 };
74
75}
76
77
78#endif
Black-Scholes processes.
ext::shared_ptr< GeneralizedBlackScholesProcess > process_
Partial-Time-Barrier-Option engine base class
const DefaultType & t
ext::function< Real(Real)> b
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
Real DiscountFactor
discount factor between dates
Definition: types.hpp:66
Real Volatility
volatility
Definition: types.hpp:78
QL_INTEGER Integer
integer number
Definition: types.hpp:35
Real Rate
interest rates
Definition: types.hpp:70
Definition: any.hpp:35
Partial-time barrier option.