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Public Member Functions | Private Attributes | List of all members
Fd2dBlackScholesVanillaEngine Class Reference

Two dimensional finite-differences Black Scholes vanilla option engine. More...

#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>

+ Inheritance diagram for Fd2dBlackScholesVanillaEngine:
+ Collaboration diagram for Fd2dBlackScholesVanillaEngine:

Public Member Functions

 Fd2dBlackScholesVanillaEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &p1, const ext::shared_ptr< GeneralizedBlackScholesProcess > &p2, Real correlation, Size xGrid=100, Size yGrid=100, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), bool localVol=false, Real illegalLocalVolOverwrite=-Null< Real >())
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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

const ext::shared_ptr< GeneralizedBlackScholesProcessp1_
 
const ext::shared_ptr< GeneralizedBlackScholesProcessp2_
 
const Real correlation_
 
const Size xGrid_
 
const Size yGrid_
 
const Size tGrid_
 
const Size dampingSteps_
 
const FdmSchemeDesc schemeDesc_
 
const bool localVol_
 
const Real illegalLocalVolOverwrite_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments arguments_
 
BasketOption::results results_
 

Detailed Description

Two dimensional finite-differences Black Scholes vanilla option engine.

Tests:
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Kirk approximation.

Definition at line 42 of file fd2dblackscholesvanillaengine.hpp.

Constructor & Destructor Documentation

◆ Fd2dBlackScholesVanillaEngine()

Fd2dBlackScholesVanillaEngine ( const ext::shared_ptr< GeneralizedBlackScholesProcess > &  p1,
const ext::shared_ptr< GeneralizedBlackScholesProcess > &  p2,
Real  correlation,
Size  xGrid = 100,
Size  yGrid = 100,
Size  tGrid = 50,
Size  dampingSteps = 0,
const FdmSchemeDesc schemeDesc = FdmSchemeDesc::Hundsdorfer(),
bool  localVol = false,
Real  illegalLocalVolOverwrite = -Null<Real>() 
)

Definition at line 31 of file fd2dblackscholesvanillaengine.cpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 52 of file fd2dblackscholesvanillaengine.cpp.

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Member Data Documentation

◆ p1_

const ext::shared_ptr<GeneralizedBlackScholesProcess> p1_
private

Definition at line 57 of file fd2dblackscholesvanillaengine.hpp.

◆ p2_

const ext::shared_ptr<GeneralizedBlackScholesProcess> p2_
private

Definition at line 58 of file fd2dblackscholesvanillaengine.hpp.

◆ correlation_

const Real correlation_
private

Definition at line 59 of file fd2dblackscholesvanillaengine.hpp.

◆ xGrid_

const Size xGrid_
private

Definition at line 60 of file fd2dblackscholesvanillaengine.hpp.

◆ yGrid_

const Size yGrid_
private

Definition at line 60 of file fd2dblackscholesvanillaengine.hpp.

◆ tGrid_

const Size tGrid_
private

Definition at line 60 of file fd2dblackscholesvanillaengine.hpp.

◆ dampingSteps_

const Size dampingSteps_
private

Definition at line 61 of file fd2dblackscholesvanillaengine.hpp.

◆ schemeDesc_

const FdmSchemeDesc schemeDesc_
private

Definition at line 62 of file fd2dblackscholesvanillaengine.hpp.

◆ localVol_

const bool localVol_
private

Definition at line 63 of file fd2dblackscholesvanillaengine.hpp.

◆ illegalLocalVolOverwrite_

const Real illegalLocalVolOverwrite_
private

Definition at line 64 of file fd2dblackscholesvanillaengine.hpp.