AnalyticCompoundOptionEngine Class Reference

Pricing engine for compound options using analytical formulae. More...

#include <ql/pricingengines/exotic/analyticcompoundoptionengine.hpp>

Inheritance diagram for AnalyticCompoundOptionEngine:

Public Member Functions
	AnalyticCompoundOptionEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
void	calculate () const override
Public Member Functions inherited from GenericEngine< CompoundOption::arguments, CompoundOption::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
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 set_type::iterator	iterator
Protected Attributes inherited from GenericEngine< CompoundOption::arguments, CompoundOption::results >
CompoundOption::arguments	arguments_
CompoundOption::results	results_

Detailed Description

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.

Tests

the correctness of the returned value is tested by reproducing results available in literature.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.