Pricing engine for Cliquet options using analytical formulae. More...
#include <analyticcliquetengine.hpp>
Inheritance diagram for AnalyticCliquetEngine:
Collaboration diagram for AnalyticCliquetEngine:
Public Member Functions | |
| AnalyticCliquetEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process) | |
| void | calculate () const override |
| Public Member Functions inherited from GenericEngine< CliquetOption::arguments, CliquetOption::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 Attributes | |
| ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from GenericEngine< CliquetOption::arguments, CliquetOption::results > | |
| CliquetOption::arguments | arguments_ |
| CliquetOption::results | results_ |
Detailed Description
Pricing engine for Cliquet options using analytical formulae.
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
Definition at line 41 of file analyticcliquetengine.hpp.
Constructor & Destructor Documentation
◆ AnalyticCliquetEngine()
| AnalyticCliquetEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process | ) |
Member Function Documentation
◆ calculate()
|
overridevirtual |
Implements PricingEngine.
Definition at line 33 of file analyticcliquetengine.cpp.
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Member Data Documentation
◆ process_
|
private |
Definition at line 47 of file analyticcliquetengine.hpp.