Pricing engine for compound options using analytical formulae. More...
#include <ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp>
Inheritance diagram for AnalyticCompoundOptionEngine:Public Member Functions | |
| AnalyticCompoundOptionEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process) | |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< CompoundOption::arguments, CompoundOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const 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 | deepUpdate () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from GenericEngine< CompoundOption::arguments, CompoundOption::results > | |
| CompoundOption::arguments | arguments_ |
| CompoundOption::results | results_ |
Pricing engine for compound options using analytical formulae.
The formulas are taken from "Foreign Exchange Risk", Uwe Wystup, Risk 2002, where closed form Greeks are available. (not available in Haug 2007). Value: Page 84, Greeks: Pages 94-95.