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Public Member Functions | Private Member Functions | Private Attributes | List of all members
AnalyticContinuousFixedLookbackEngine Class Reference

Pricing engine for European continuous fixed-strike lookback. More...

#include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp>

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Public Member Functions

 AnalyticContinuousFixedLookbackEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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< GeneralizedBlackScholesProcessprocess_
 
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()

Definition at line 27 of file analyticcontinuousfixedlookback.cpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 33 of file analyticcontinuousfixedlookback.cpp.

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◆ underlying()

Real underlying ( ) const
private

Definition at line 66 of file analyticcontinuousfixedlookback.cpp.

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◆ strike()

Real strike ( ) const
private

Definition at line 70 of file analyticcontinuousfixedlookback.cpp.

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◆ residualTime()

Time residualTime ( ) const
private

Definition at line 77 of file analyticcontinuousfixedlookback.cpp.

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◆ volatility()

Volatility volatility ( ) const
private

Definition at line 81 of file analyticcontinuousfixedlookback.cpp.

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◆ minmax()

Real minmax ( ) const
private

Definition at line 109 of file analyticcontinuousfixedlookback.cpp.

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◆ stdDeviation()

Real stdDeviation ( ) const
private

Definition at line 85 of file analyticcontinuousfixedlookback.cpp.

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◆ riskFreeRate()

Rate riskFreeRate ( ) const
private

Definition at line 89 of file analyticcontinuousfixedlookback.cpp.

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◆ riskFreeDiscount()

DiscountFactor riskFreeDiscount ( ) const
private

Definition at line 94 of file analyticcontinuousfixedlookback.cpp.

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◆ dividendYield()

Rate dividendYield ( ) const
private

Definition at line 99 of file analyticcontinuousfixedlookback.cpp.

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◆ dividendDiscount()

DiscountFactor dividendDiscount ( ) const
private

Definition at line 104 of file analyticcontinuousfixedlookback.cpp.

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◆ A()

Real A ( Real  eta) const
private

Definition at line 113 of file analyticcontinuousfixedlookback.cpp.

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◆ B()

Real B ( Real  eta) const
private

Definition at line 131 of file analyticcontinuousfixedlookback.cpp.

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◆ C()

Real C ( Real  eta) const
private

Definition at line 149 of file analyticcontinuousfixedlookback.cpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_
private

Definition at line 50 of file analyticcontinuousfixedlookback.hpp.

◆ f_

Definition at line 51 of file analyticcontinuousfixedlookback.hpp.