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

#include <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::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
const ext::shared_ptr< GeneralizedBlackScholesProcess >	p1_

const ext::shared_ptr< GeneralizedBlackScholesProcess >	p2_

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>()`
	)