analytic engine for partial-time barrier options. More...

#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 ()=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	calculate (PartialTimeBarrierOption::arguments &arguments, const ext::shared_ptr< PlainVanillaPayoff > &payoff, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process) const

Real	underlying () const

Time	residualTime () const

Time	coverEventTime () const

Volatility	volatility (Time t, Real strike) const

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

Real	d1 (Real strike, Rate b) const

Real	d2 (Real strike, Rate b) const

Real	e1 (Real barrier, Real strike, Rate b) const

Real	e2 (Real barrier, Real strike, Rate b) const

Real	e3 (Real barrier, Real strike, Rate b) const

Real	e4 (Real barrier, Real strike, Rate b) const

Real	f1 (Real barrier, Real strike, Rate b) const

Real	f2 (Real barrier, Real strike, Rate b) const

Real	rho () const

Rate	mu (Real strike, Rate b) const

Real	CoB2 (Barrier::Type barrierType, Real barrier, Real strike, Rate r, Rate q) const

Real	CoB1 (Real barrier, Real strike, Rate r, Rate q) const

Real	CA (Integer n, Real barrier, Real strike, Rate r, Rate q) const

Real	CIA (Integer n, Real barrier, Real strike, Rate r, Rate q) const

Real	g1 (Real barrier, Real strike, Rate b) const

Real	g2 (Real barrier, Real strike, Rate b) const

Real	g3 (Real barrier, Real strike, Rate b) const

Real	g4 (Real barrier, Real strike, Rate b) 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

analytic engine for partial-time barrier options.

Formulas from Haug, Option Pricing Formulas.

It doesn't currently cover the case of knock-in partial-time end options.

Definition at line 38 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() [1/2]

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 101 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ calculate() [2/2]

Real calculate	(	PartialTimeBarrierOption::arguments &	arguments,
		const ext::shared_ptr< PlainVanillaPayoff > &	payoff,
		const ext::shared_ptr< GeneralizedBlackScholesProcess > &	process
	)		const

private

Definition at line 34 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ underlying()

Real underlying ( ) const

private

Definition at line 266 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ residualTime()

Time residualTime ( ) const

private

Definition at line 270 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ coverEventTime()

Time coverEventTime ( ) const

private

Definition at line 274 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ volatility()

Volatility volatility	(	Time	t,
		Real	strike
	)		const

private

Definition at line 278 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ M()

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

private

Definition at line 295 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ d1()

Real d1	(	Real	strike,
		Rate	b
	)		const

private

Definition at line 309 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ d2()

Real d2	(	Real	strike,
		Rate	b
	)		const

private

Definition at line 315 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ e1()

Real e1	(	Real	barrier,
		Real	strike,
		Rate	b
	)		const

private

Definition at line 321 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ e2()

Real e2	(	Real	barrier,
		Real	strike,
		Rate	b
	)		const

private

Definition at line 327 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ e3()

Real e3	(	Real	barrier,
		Real	strike,
		Rate	b
	)		const

private

Definition at line 333 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ e4()

Real e4	(	Real	barrier,
		Real	strike,
		Rate	b
	)		const

private

Definition at line 339 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ f1()

Real f1	(	Real	barrier,
		Real	strike,
		Rate	b
	)		const

private

Definition at line 282 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ f2()

Real f2	(	Real	barrier,
		Real	strike,
		Rate	b
	)		const

private

Definition at line 290 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ rho()

Real rho ( ) const

private

Definition at line 300 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ mu()

Rate mu	(	Real	strike,
		Rate	b
	)		const

private

Definition at line 304 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ CoB2()

Real CoB2	(	Barrier::Type	barrierType,
		Real	barrier,
		Real	strike,
		Rate	r,
		Rate	q
	)		const

private

Definition at line 140 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ CoB1()

Real CoB1	(	Real	barrier,
		Real	strike,
		Rate	r,
		Rate	q
	)		const

private

Definition at line 188 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ CA()

Real CA	(	Integer	n,
		Real	barrier,
		Real	strike,
		Rate	r,
		Rate	q
	)		const

private

Definition at line 242 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ CIA()

Real CIA	(	Integer	n,
		Real	barrier,
		Real	strike,
		Rate	r,
		Rate	q
	)		const

private

Definition at line 227 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ g1()

Real g1	(	Real	barrier,
		Real	strike,
		Rate	b
	)		const

private

Definition at line 344 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ g2()

Real g2	(	Real	barrier,
		Real	strike,
		Rate	b
	)		const

private

Definition at line 350 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ g3()

Real g3	(	Real	barrier,
		Real	strike,
		Rate	b
	)		const

private

Definition at line 356 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ g4()

Real g4	(	Real	barrier,
		Real	strike,
		Rate	b
	)		const

private

Definition at line 362 of file analyticpartialtimebarrieroptionengine.cpp.

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◆ HS()

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

private

Definition at line 368 of file analyticpartialtimebarrieroptionengine.cpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 46 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() [1/2]

◆ calculate() [2/2]

◆ underlying()

◆ residualTime()

◆ coverEventTime()

◆ volatility()

◆ M()

◆ d1()

◆ d2()

◆ e1()

◆ e2()

◆ e3()

◆ e4()

◆ f1()

◆ f2()

◆ rho()

◆ mu()

◆ CoB2()

◆ CoB1()

◆ CA()

◆ CIA()

◆ g1()

◆ g2()

◆ g3()

◆ g4()

◆ HS()

Member Data Documentation

◆ process_