AnalyticContinuousPartialFloatingLookbackEngine Class Reference

Pricing engine for European continuous partial-time floating-strike lookback option. More...

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

Inheritance diagram for AnalyticContinuousPartialFloatingLookbackEngine:

Collaboration diagram for AnalyticContinuousPartialFloatingLookbackEngine:

Public Member Functions
	AnalyticContinuousPartialFloatingLookbackEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
void	calculate () const override
Public Member Functions inherited from GenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::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
Time	residualTime () const
Volatility	volatility () const
Real	minmax () const
Real	lambda () const
Time	lookbackPeriodEndTime () const
Real	stdDeviation () const
Rate	riskFreeRate () const
DiscountFactor	riskFreeDiscount () const
Rate	dividendYield () const
DiscountFactor	dividendDiscount () const
Real	A (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< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results >
ContinuousPartialFloatingLookbackOption::arguments	arguments_
ContinuousPartialFloatingLookbackOption::results	results_

Detailed Description

Pricing engine for European continuous partial-time floating-strike lookback option.

Formula from "Option Pricing Formulas, Second Edition", E.G. Haug, 2006, p.146

Tests:

returned values verified against results from literature

Definition at line 46 of file analyticcontinuouspartialfloatinglookback.hpp.

Constructor & Destructor Documentation

AnalyticContinuousPartialFloatingLookbackEngine()

AnalyticContinuousPartialFloatingLookbackEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 27 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the call graph for this function:

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 34 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the call graph for this function:

underlying()

Real underlying ( ) const

private

Definition at line 54 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the caller graph for this function:

residualTime()

Time residualTime ( ) const

private

Definition at line 58 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the caller graph for this function:

volatility()

Volatility volatility ( ) const

private

Definition at line 62 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

minmax()

Real minmax ( ) const

private

Definition at line 90 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the caller graph for this function:

lambda()

Real lambda ( ) const

private

Definition at line 94 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the caller graph for this function:

lookbackPeriodEndTime()

Time lookbackPeriodEndTime ( ) const

private

Definition at line 98 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the caller graph for this function:

stdDeviation()

Real stdDeviation ( ) const

private

Definition at line 66 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

riskFreeRate()

Rate riskFreeRate ( ) const

private

Definition at line 70 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

riskFreeDiscount()

DiscountFactor riskFreeDiscount ( ) const

private

Definition at line 75 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

dividendYield()

Rate dividendYield ( ) const

private

Definition at line 80 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

dividendDiscount()

DiscountFactor dividendDiscount ( ) const

private

Definition at line 85 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

A()

Real A ( Real  eta ) const

private

Definition at line 103 of file analyticcontinuouspartialfloatinglookback.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 54 of file analyticcontinuouspartialfloatinglookback.hpp.

f_

CumulativeNormalDistribution f_

private

Definition at line 55 of file analyticcontinuouspartialfloatinglookback.hpp.