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

#include <analyticcompoundoptionengine.hpp>

Inheritance diagram for AnalyticCompoundOptionEngine:

Collaboration diagram for AnalyticCompoundOptionEngine:

Public Member Functions
	AnalyticCompoundOptionEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)

void	calculate () const override

Public Member Functions inherited from GenericEngine< CompoundOption::arguments, CompoundOption::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
Time	residualTimeMother () const

Time	residualTimeDaughter () const

Time	residualTimeMotherDaughter () const

Date	maturityMother () const

Date	maturityDaughter () const

Real	dPlus () const

Real	dMinus () const

Real	dPlusTau12 (Real S) const

Real	dMinusTau12 () const

Real	strikeDaughter () const

Real	strikeMother () const

Real	spot () const

Real	volatilityDaughter () const

Real	volatilityMother () const

Real	riskFreeRateDaughter () const

Real	dividendRateDaughter () const

Real	stdDeviationDaughter () const

Real	stdDeviationMother () const

Real	typeDaughter () const

Real	typeMother () const

Real	transformX (Real X) const

Real	e (Real X) const

DiscountFactor	riskFreeDiscountDaughter () const

DiscountFactor	riskFreeDiscountMother () const

DiscountFactor	riskFreeDiscountMotherDaughter () const

DiscountFactor	dividendDiscountDaughter () const

DiscountFactor	dividendDiscountMother () const

DiscountFactor	dividendDiscountMotherDaughter () const

ext::shared_ptr< PlainVanillaPayoff >	payoffMother () const

ext::shared_ptr< PlainVanillaPayoff >	payoffDaughter () const

Private Attributes
CumulativeNormalDistribution	N_

NormalDistribution	n_

ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericEngine< CompoundOption::arguments, CompoundOption::results >
CompoundOption::arguments	arguments_

CompoundOption::results	results_

Detailed Description

Pricing engine for compound options using analytical formulae.

The formulas are taken from "Foreign Exchange Risk", Uwe Wystup, Risk 2002, where closed form Greeks are available. (not available in Haug 2007). Value: Page 84, Greeks: Pages 94-95.

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

Definition at line 42 of file analyticcompoundoptionengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticCompoundOptionEngine()

AnalyticCompoundOptionEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess > process )

explicit

Definition at line 56 of file analyticcompoundoptionengine.cpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 62 of file analyticcompoundoptionengine.cpp.

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◆ residualTimeMother()

Time residualTimeMother ( ) const

private

Definition at line 171 of file analyticcompoundoptionengine.cpp.

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◆ residualTimeDaughter()

Time residualTimeDaughter ( ) const

private

Definition at line 167 of file analyticcompoundoptionengine.cpp.

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◆ residualTimeMotherDaughter()

Time residualTimeMotherDaughter ( ) const

private

Definition at line 175 of file analyticcompoundoptionengine.cpp.

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◆ maturityMother()

Date maturityMother ( ) const

private

Definition at line 163 of file analyticcompoundoptionengine.cpp.

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◆ maturityDaughter()

Date maturityDaughter ( ) const

private

Definition at line 159 of file analyticcompoundoptionengine.cpp.

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◆ dPlus()

Real dPlus ( ) const

private

Definition at line 249 of file analyticcompoundoptionengine.cpp.

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◆ dMinus()

Real dMinus ( ) const

private

Definition at line 255 of file analyticcompoundoptionengine.cpp.

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◆ dPlusTau12()

Real dPlusTau12 ( Real S ) const

private

Definition at line 259 of file analyticcompoundoptionengine.cpp.

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◆ dMinusTau12()

Real dMinusTau12 ( ) const

private

◆ strikeDaughter()

Real strikeDaughter ( ) const

private

Definition at line 221 of file analyticcompoundoptionengine.cpp.

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◆ strikeMother()

Real strikeMother ( ) const

private

Definition at line 217 of file analyticcompoundoptionengine.cpp.

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◆ spot()

Real spot ( ) const

private

Definition at line 265 of file analyticcompoundoptionengine.cpp.

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◆ volatilityDaughter()

Real volatilityDaughter ( ) const

private

Definition at line 180 of file analyticcompoundoptionengine.cpp.

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◆ volatilityMother()

Real volatilityMother ( ) const

private

Definition at line 186 of file analyticcompoundoptionengine.cpp.

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◆ riskFreeRateDaughter()

Real riskFreeRateDaughter ( ) const

private

Definition at line 269 of file analyticcompoundoptionengine.cpp.

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◆ dividendRateDaughter()

Real dividendRateDaughter ( ) const

private

Definition at line 275 of file analyticcompoundoptionengine.cpp.

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◆ stdDeviationDaughter()

Real stdDeviationDaughter ( ) const

private

Definition at line 191 of file analyticcompoundoptionengine.cpp.

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◆ stdDeviationMother()

Real stdDeviationMother ( ) const

private

Definition at line 195 of file analyticcompoundoptionengine.cpp.

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◆ typeDaughter()

Real typeDaughter ( ) const

private

Definition at line 150 of file analyticcompoundoptionengine.cpp.

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◆ typeMother()

Real typeMother ( ) const

private

Definition at line 155 of file analyticcompoundoptionengine.cpp.

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◆ transformX()

Real transformX ( Real X ) const

private

Definition at line 281 of file analyticcompoundoptionengine.cpp.

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◆ e()

Real e ( Real X ) const

private

Definition at line 291 of file analyticcompoundoptionengine.cpp.

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◆ riskFreeDiscountDaughter()

DiscountFactor riskFreeDiscountDaughter ( ) const

private

Definition at line 225 of file analyticcompoundoptionengine.cpp.

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◆ riskFreeDiscountMother()

DiscountFactor riskFreeDiscountMother ( ) const

private

Definition at line 229 of file analyticcompoundoptionengine.cpp.

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◆ riskFreeDiscountMotherDaughter()

DiscountFactor riskFreeDiscountMotherDaughter ( ) const

private

Definition at line 233 of file analyticcompoundoptionengine.cpp.

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◆ dividendDiscountDaughter()

DiscountFactor dividendDiscountDaughter ( ) const

private

Definition at line 237 of file analyticcompoundoptionengine.cpp.

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◆ dividendDiscountMother()

DiscountFactor dividendDiscountMother ( ) const

private

Definition at line 241 of file analyticcompoundoptionengine.cpp.

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◆ dividendDiscountMotherDaughter()

DiscountFactor dividendDiscountMotherDaughter ( ) const

private

Definition at line 245 of file analyticcompoundoptionengine.cpp.

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◆ payoffMother()

ext::shared_ptr< PlainVanillaPayoff > payoffMother ( ) const

private

Definition at line 210 of file analyticcompoundoptionengine.cpp.

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◆ payoffDaughter()

ext::shared_ptr< PlainVanillaPayoff > payoffDaughter ( ) const

private

Definition at line 201 of file analyticcompoundoptionengine.cpp.

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Member Data Documentation

◆ N_

CumulativeNormalDistribution N_

private

Definition at line 49 of file analyticcompoundoptionengine.hpp.

◆ n_

NormalDistribution n_

private

Definition at line 50 of file analyticcompoundoptionengine.hpp.

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 51 of file analyticcompoundoptionengine.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ AnalyticCompoundOptionEngine()

Member Function Documentation

◆ calculate()

◆ residualTimeMother()

◆ residualTimeDaughter()

◆ residualTimeMotherDaughter()

◆ maturityMother()

◆ maturityDaughter()

◆ dPlus()

◆ dMinus()

◆ dPlusTau12()

◆ dMinusTau12()

◆ strikeDaughter()

◆ strikeMother()

◆ spot()

◆ volatilityDaughter()

◆ volatilityMother()

◆ riskFreeRateDaughter()

◆ dividendRateDaughter()

◆ stdDeviationDaughter()

◆ stdDeviationMother()

◆ typeDaughter()

◆ typeMother()

◆ transformX()

◆ e()

◆ riskFreeDiscountDaughter()

◆ riskFreeDiscountMother()

◆ riskFreeDiscountMotherDaughter()

◆ dividendDiscountDaughter()

◆ dividendDiscountMother()

◆ dividendDiscountMotherDaughter()

◆ payoffMother()

◆ payoffDaughter()

Member Data Documentation

◆ N_

◆ n_

◆ process_