Pricing engine for European continuous fixed-strike lookback. More...
#include <analyticcontinuousfixedlookback.hpp>
Inheritance diagram for AnalyticContinuousFixedLookbackEngine:
Collaboration diagram for AnalyticContinuousFixedLookbackEngine:
Public Member Functions | |
| AnalyticContinuousFixedLookbackEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process) | |
| void | calculate () const override |
| Public Member Functions inherited from GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::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 |
| Real | minmax () const |
| Real | stdDeviation () const |
| Rate | riskFreeRate () const |
| DiscountFactor | riskFreeDiscount () const |
| Rate | dividendYield () const |
| DiscountFactor | dividendDiscount () const |
| Real | A (Real eta) const |
| Real | B (Real eta) const |
| Real | C (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< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > | |
| ContinuousFixedLookbackOption::arguments | arguments_ |
| ContinuousFixedLookbackOption::results | results_ |
Detailed Description
Pricing engine for European continuous fixed-strike lookback.
Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.63-64
- Tests:
- returned values are verified against results from literature
Definition at line 42 of file analyticcontinuousfixedlookback.hpp.
Constructor & Destructor Documentation
◆ AnalyticContinuousFixedLookbackEngine()
| AnalyticContinuousFixedLookbackEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process | ) |
Definition at line 27 of file analyticcontinuousfixedlookback.cpp.
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Member Function Documentation
◆ calculate()
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overridevirtual |
Implements PricingEngine.
Definition at line 33 of file analyticcontinuousfixedlookback.cpp.
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◆ underlying()
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private |
Definition at line 66 of file analyticcontinuousfixedlookback.cpp.
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◆ strike()
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private |
Definition at line 70 of file analyticcontinuousfixedlookback.cpp.
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◆ residualTime()
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private |
Definition at line 77 of file analyticcontinuousfixedlookback.cpp.
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◆ volatility()
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private |
Definition at line 81 of file analyticcontinuousfixedlookback.cpp.
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◆ minmax()
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private |
Definition at line 109 of file analyticcontinuousfixedlookback.cpp.
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◆ stdDeviation()
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private |
Definition at line 85 of file analyticcontinuousfixedlookback.cpp.
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◆ riskFreeRate()
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private |
Definition at line 89 of file analyticcontinuousfixedlookback.cpp.
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◆ riskFreeDiscount()
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private |
Definition at line 94 of file analyticcontinuousfixedlookback.cpp.
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◆ dividendYield()
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private |
Definition at line 99 of file analyticcontinuousfixedlookback.cpp.
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◆ dividendDiscount()
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private |
Definition at line 104 of file analyticcontinuousfixedlookback.cpp.
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◆ A()
Definition at line 113 of file analyticcontinuousfixedlookback.cpp.
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◆ B()
Definition at line 131 of file analyticcontinuousfixedlookback.cpp.
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◆ C()
Definition at line 149 of file analyticcontinuousfixedlookback.cpp.
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Member Data Documentation
◆ process_
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private |
Definition at line 50 of file analyticcontinuousfixedlookback.hpp.
◆ f_
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private |
Definition at line 51 of file analyticcontinuousfixedlookback.hpp.