SuoWangDoubleBarrierEngine Class Reference

Pricing engine for barrier options using analytical formulae. More...

#include <suowangdoublebarrierengine.hpp>

Inheritance diagram for SuoWangDoubleBarrierEngine:

Collaboration diagram for SuoWangDoubleBarrierEngine:

Public Member Functions
	SuoWangDoubleBarrierEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, int series=5)
void	calculate () const override
Public Member Functions inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::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	strike () const
Time	residualTime () const
Volatility	volatility () const
Rate	riskFreeRate () const
DiscountFactor	riskFreeDiscount () const
Rate	dividendYield () const
DiscountFactor	dividendDiscount () const
Real	D (Real X, Real lambda, Real sigma, Real T) const

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
const int	series_
CumulativeNormalDistribution	f_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from DoubleBarrierOption::engine
bool	triggered (Real underlying) const
Protected Attributes inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >
DoubleBarrierOption::arguments	arguments_
DoubleBarrierOption::results	results_

Detailed Description

Pricing engine for barrier options using analytical formulae.

The formulas are taken from "Barrier Option Pricing", Wulin Suo, Yong Wang.

Tests:

the correctness of the returned value is tested by reproducing results available in literature.

Definition at line 42 of file suowangdoublebarrierengine.hpp.

Constructor & Destructor Documentation

SuoWangDoubleBarrierEngine()

SuoWangDoubleBarrierEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process, int  series = 5  )

explicit

Definition at line 28 of file suowangdoublebarrierengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 34 of file suowangdoublebarrierengine.cpp.

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strike()

Real strike ( ) const

private

Definition at line 133 of file suowangdoublebarrierengine.cpp.

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residualTime()

Time residualTime ( ) const

private

Definition at line 140 of file suowangdoublebarrierengine.cpp.

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volatility()

Volatility volatility ( ) const

private

Definition at line 144 of file suowangdoublebarrierengine.cpp.

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riskFreeRate()

Rate riskFreeRate ( ) const

private

Definition at line 148 of file suowangdoublebarrierengine.cpp.

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riskFreeDiscount()

DiscountFactor riskFreeDiscount ( ) const

private

Definition at line 153 of file suowangdoublebarrierengine.cpp.

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dividendYield()

Rate dividendYield ( ) const

private

Definition at line 157 of file suowangdoublebarrierengine.cpp.

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dividendDiscount()

DiscountFactor dividendDiscount ( ) const

private

Definition at line 162 of file suowangdoublebarrierengine.cpp.

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D()

Real D ( Real  X, Real  lambda, Real  sigma, Real  T  ) const

private

Definition at line 166 of file suowangdoublebarrierengine.cpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 49 of file suowangdoublebarrierengine.hpp.

series_

const int series_

private

Definition at line 50 of file suowangdoublebarrierengine.hpp.

f_

CumulativeNormalDistribution f_

private

Definition at line 51 of file suowangdoublebarrierengine.hpp.