Analytic enging for holder-extensible options. More...

#include <analyticholderextensibleoptionengine.hpp>

Inheritance diagram for AnalyticHolderExtensibleOptionEngine:

Collaboration diagram for AnalyticHolderExtensibleOptionEngine:

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

void	calculate () const override

Public Member Functions inherited from GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::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 ()=default

	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	firstExpiryTime () const

Time	secondExpiryTime () const

Volatility	volatility () const

Rate	riskFreeRate () const

Rate	dividendYield () const

DiscountFactor	dividendDiscount (Time t) const

DiscountFactor	riskFreeDiscount (Time t) const

Real	I1Call () const

Real	I2Call () const

Real	I1Put () const

Real	I2Put () const

BlackScholesCalculator	bsCalculator (Real spot, Option::Type optionType) const

Real	M2 (Real a, Real b, Real c, Real d, Real rho) const

Real	N2 (Real a, Real b) const

Real	y1 (Option::Type) const

Real	y2 (Option::Type) const

Real	z1 () const

Real	z2 () const

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< HolderExtensibleOption::arguments, HolderExtensibleOption::results >
HolderExtensibleOption::arguments	arguments_

HolderExtensibleOption::results	results_

Detailed Description

Analytic enging for holder-extensible options.

Formulas from Haug, "Option Pricing Formulas".

Definition at line 35 of file analyticholderextensibleoptionengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticHolderExtensibleOptionEngine()

AnalyticHolderExtensibleOptionEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess > process )

explicit

Definition at line 32 of file analyticholderextensibleoptionengine.cpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 38 of file analyticholderextensibleoptionengine.cpp.

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◆ strike()

Real strike ( ) const

private

Definition at line 264 of file analyticholderextensibleoptionengine.cpp.

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◆ firstExpiryTime()

Time firstExpiryTime ( ) const

private

Definition at line 271 of file analyticholderextensibleoptionengine.cpp.

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◆ secondExpiryTime()

Time secondExpiryTime ( ) const

private

Definition at line 275 of file analyticholderextensibleoptionengine.cpp.

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◆ volatility()

Volatility volatility ( ) const

private

Definition at line 279 of file analyticholderextensibleoptionengine.cpp.

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◆ riskFreeRate()

Rate riskFreeRate ( ) const

private

Definition at line 282 of file analyticholderextensibleoptionengine.cpp.

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◆ dividendYield()

Rate dividendYield ( ) const

private

Definition at line 286 of file analyticholderextensibleoptionengine.cpp.

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◆ dividendDiscount()

DiscountFactor dividendDiscount ( Time t ) const

private

Definition at line 291 of file analyticholderextensibleoptionengine.cpp.

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◆ riskFreeDiscount()

DiscountFactor riskFreeDiscount ( Time t ) const

private

Definition at line 295 of file analyticholderextensibleoptionengine.cpp.

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◆ I1Call()

Real I1Call ( ) const

private

Definition at line 95 of file analyticholderextensibleoptionengine.cpp.

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◆ I2Call()

Real I2Call ( ) const

private

Definition at line 129 of file analyticholderextensibleoptionengine.cpp.

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◆ I1Put()

Real I1Put ( ) const

private

Definition at line 166 of file analyticholderextensibleoptionengine.cpp.

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◆ I2Put()

Real I2Put ( ) const

private

Definition at line 196 of file analyticholderextensibleoptionengine.cpp.

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◆ bsCalculator()

BlackScholesCalculator bsCalculator	(	Real	spot,
		Option::Type	optionType
	)		const

private

Definition at line 228 of file analyticholderextensibleoptionengine.cpp.

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◆ M2()

Real M2	(	Real	a,
		Real	b,
		Real	c,
		Real	d,
		Real	rho
	)		const

private

Definition at line 254 of file analyticholderextensibleoptionengine.cpp.

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◆ N2()

Real N2	(	Real	a,
		Real	b
	)		const

private

Definition at line 259 of file analyticholderextensibleoptionengine.cpp.

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◆ y1()

Real y1 ( Option::Type type ) const

private

Definition at line 299 of file analyticholderextensibleoptionengine.cpp.

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◆ y2()

Real y2 ( Option::Type type ) const

private

Definition at line 310 of file analyticholderextensibleoptionengine.cpp.

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◆ z1()

Real z1 ( ) const

private

Definition at line 321 of file analyticholderextensibleoptionengine.cpp.

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◆ z2()

Real z2 ( ) const

private

Definition at line 331 of file analyticholderextensibleoptionengine.cpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 43 of file analyticholderextensibleoptionengine.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ AnalyticHolderExtensibleOptionEngine()

Member Function Documentation

◆ calculate()

◆ strike()

◆ firstExpiryTime()

◆ secondExpiryTime()

◆ volatility()

◆ riskFreeRate()

◆ dividendYield()

◆ dividendDiscount()

◆ riskFreeDiscount()

◆ I1Call()

◆ I2Call()

◆ I1Put()

◆ I2Put()

◆ bsCalculator()

◆ M2()

◆ N2()

◆ y1()

◆ y2()

◆ z1()

◆ z2()

Member Data Documentation

◆ process_