Double Barrier option on a single asset. More...

#include <doublebarrieroption.hpp>

Inheritance diagram for DoubleBarrierOption:

Collaboration diagram for DoubleBarrierOption:

Classes
class	arguments
	Arguments for double barrier option calculation More...

class	engine
	Double-Barrier-option engine base class More...

Public Member Functions
	DoubleBarrierOption (DoubleBarrier::Type barrierType, Real barrier_lo, Real barrier_hi, Real rebate, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)

void	setupArguments (PricingEngine::arguments *) const override

Volatility	impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const

Public Member Functions inherited from OneAssetOption
	OneAssetOption (const ext::shared_ptr< Payoff > &, const ext::shared_ptr< Exercise > &)

bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...

Real	delta () const

Real	deltaForward () const

Real	elasticity () const

Real	gamma () const

Real	theta () const

Real	thetaPerDay () const

Real	vega () const

Real	rho () const

Real	dividendRho () const

Real	strikeSensitivity () const

Real	itmCashProbability () const

void	fetchResults (const PricingEngine::results *) const override

Public Member Functions inherited from Option
	Option (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< Exercise > exercise)

void	setupArguments (PricingEngine::arguments *) const override

ext::shared_ptr< Payoff >	payoff () const

ext::shared_ptr< Exercise >	exercise () const

Public Member Functions inherited from Instrument
	Instrument ()

Real	NPV () const
	returns the net present value of the instrument. More...

Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...

const Date &	valuationDate () const
	returns the date the net present value refers to. More...

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...

const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

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 ()

Protected Attributes
DoubleBarrier::Type	barrierType_

Real	barrier_lo_

Real	barrier_hi_

Real	rebate_

Protected Attributes inherited from OneAssetOption
Real	delta_

Real	deltaForward_

Real	elasticity_

Real	gamma_

Real	theta_

Real	thetaPerDay_

Real	vega_

Real	rho_

Real	dividendRho_

Real	strikeSensitivity_

Real	itmCashProbability_

Protected Attributes inherited from Option
ext::shared_ptr< Payoff >	payoff_

ext::shared_ptr< Exercise >	exercise_

Protected Attributes inherited from Instrument
Real	NPV_

Real	errorEstimate_

Date	valuationDate_

std::map< std::string, ext::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Additional Inherited Members
Public Types inherited from Option
enum	Type { Put = -1 , Call = 1 }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from OneAssetOption
void	setupExpired () const override

Protected Member Functions inherited from Instrument
void	calculate () const override

void	performCalculations () const override

Protected Member Functions inherited from LazyObject
Related Functions inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

Detailed Description

Double Barrier option on a single asset.

The analytic pricing engine will be used if none if passed.

Definition at line 40 of file doublebarrieroption.hpp.

Constructor & Destructor Documentation

◆ DoubleBarrierOption()

DoubleBarrierOption	(	DoubleBarrier::Type	barrierType,
		Real	barrier_lo,
		Real	barrier_hi,
		Real	rebate,
		const ext::shared_ptr< StrikedTypePayoff > &	payoff,
		const ext::shared_ptr< Exercise > &	exercise
	)

Definition at line 28 of file doublebarrieroption.cpp.

Member Function Documentation

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Definition at line 39 of file doublebarrieroption.cpp.

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◆ impliedVolatility()

Volatility impliedVolatility	(	Real	price,
		const ext::shared_ptr< GeneralizedBlackScholesProcess > &	process,
		Real	accuracy = `1.0e-4`,
		Size	maxEvaluations = `100`,
		Volatility	minVol = `1.0e-7`,
		Volatility	maxVol = `4.0`
	)		const

Warning:: see VanillaOption for notes on implied-volatility calculation.

Definition at line 52 of file doublebarrieroption.cpp.

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Member Data Documentation

◆ barrierType_

DoubleBarrier::Type barrierType_

protected

Definition at line 63 of file doublebarrieroption.hpp.

◆ barrier_lo_

Real barrier_lo_

protected

Definition at line 64 of file doublebarrieroption.hpp.

◆ barrier_hi_

Real barrier_hi_

protected

Definition at line 65 of file doublebarrieroption.hpp.

◆ rebate_

Real rebate_

protected

Definition at line 66 of file doublebarrieroption.hpp.

Classes

Public Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ DoubleBarrierOption()

Member Function Documentation

◆ setupArguments()

◆ impliedVolatility()

Member Data Documentation

◆ barrierType_

◆ barrier_lo_

◆ barrier_hi_

◆ rebate_