#include <analyticpartialtimebarrieroptionengine.hpp>

Inheritance diagram for AnalyticPartialTimeBarrierOptionEngine:

Collaboration diagram for AnalyticPartialTimeBarrierOptionEngine:

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

void	calculate () const override

Public Member Functions inherited from GenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::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 Member Functions
Real	underlying () const

Real	strike () const

Time	residualTime () const

Time	coverEventTime () const

Volatility	volatility (Time t) const

Real	barrier () const

Real	rebate () const

Real	stdDeviation () const

Rate	riskFreeRate () const

DiscountFactor	riskFreeDiscount () const

Rate	dividendYield () const

DiscountFactor	dividendDiscount () const

Real	M (Real a, Real b, Real rho) const

Real	d1 () const

Real	d2 () const

Real	e1 () const

Real	e2 () const

Real	e3 () const

Real	e4 () const

Real	f1 () const

Real	f2 () const

Real	rho () const

Rate	mu () const

Real	CoB2 (PartialBarrier::Type barrierType) const

Real	CoB1 () const

Real	CA (Integer n) const

Real	CIA (Integer n) const

Real	g1 () const

Real	g2 () const

Real	g3 () const

Real	g4 () const

Real	HS (Real S, Real H, Real power) 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< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results >
PartialTimeBarrierOption::arguments	arguments_

PartialTimeBarrierOption::results	results_

Detailed Description

Definition at line 32 of file analyticpartialtimebarrieroptionengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticPartialTimeBarrierOptionEngine()

AnalyticPartialTimeBarrierOptionEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess > process )

explicit

Definition at line 28 of file analyticpartialtimebarrieroptionengine.cpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 34 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ underlying()

Real underlying ( ) const

private

Definition at line 198 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ strike()

Real strike ( ) const

private

Definition at line 202 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ residualTime()

Time residualTime ( ) const

private

Definition at line 209 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ coverEventTime()

Time coverEventTime ( ) const

private

Definition at line 213 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ volatility()

Volatility volatility ( Time t ) const

private

Definition at line 217 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ barrier()

Real barrier ( ) const

private

Definition at line 226 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ rebate()

Real rebate ( ) const

private

Definition at line 230 of file analyticpartialtimebarrieroptionengine.cpp.

◆ stdDeviation()

Real stdDeviation ( ) const

private

Definition at line 221 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ riskFreeRate()

Rate riskFreeRate ( ) const

private

Definition at line 234 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ riskFreeDiscount()

DiscountFactor riskFreeDiscount ( ) const

private

Definition at line 239 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ dividendYield()

Rate dividendYield ( ) const

private

Definition at line 243 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ dividendDiscount()

DiscountFactor dividendDiscount ( ) const

private

Definition at line 248 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ M()

Real M	(	Real	a,
		Real	b,
		Real	rho
	)		const

private

Definition at line 265 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ d1()

Real d1 ( ) const

private

Definition at line 279 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ d2()

Real d2 ( ) const

private

Definition at line 286 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ e1()

Real e1 ( ) const

private

Definition at line 292 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ e2()

Real e2 ( ) const

private

Definition at line 299 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ e3()

Real e3 ( ) const

private

Definition at line 305 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ e4()

Real e4 ( ) const

private

Definition at line 311 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ f1()

Real f1 ( ) const

private

Definition at line 253 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ f2()

Real f2 ( ) const

private

Definition at line 260 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ rho()

Real rho ( ) const

private

Definition at line 270 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ mu()

Rate mu ( ) const

private

Definition at line 274 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ CoB2()

Real CoB2 ( PartialBarrier::Type barrierType ) const

private

Definition at line 119 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ CoB1()

Real CoB1 ( ) const

private

Definition at line 147 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ CA()

Real CA ( Integer n ) const

private

Definition at line 188 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ CIA()

Real CIA ( Integer n ) const

private

Definition at line 173 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ g1()

Real g1 ( ) const

private

Definition at line 316 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ g2()

Real g2 ( ) const

private

Definition at line 323 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ g3()

Real g3 ( ) const

private

Definition at line 329 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ g4()

Real g4 ( ) const

private

Definition at line 335 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ HS()

Real HS	(	Real	S,
		Real	H,
		Real	power
	)		const

private

Definition at line 341 of file analyticpartialtimebarrieroptionengine.cpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 40 of file analyticpartialtimebarrieroptionengine.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ AnalyticPartialTimeBarrierOptionEngine()

Member Function Documentation

◆ calculate()

◆ underlying()

◆ strike()

◆ residualTime()

◆ coverEventTime()

◆ volatility()

◆ barrier()

◆ rebate()

◆ stdDeviation()

◆ riskFreeRate()

◆ riskFreeDiscount()

◆ dividendYield()

◆ dividendDiscount()

◆ M()

◆ d1()

◆ d2()

◆ e1()

◆ e2()

◆ e3()

◆ e4()

◆ f1()

◆ f2()

◆ rho()

◆ mu()

◆ CoB2()

◆ CoB1()

◆ CA()

◆ CIA()

◆ g1()

◆ g2()

◆ g3()

◆ g4()

◆ HS()

Member Data Documentation

◆ process_