ChoiBasketEngine Class Reference

Pricing engine for basket option on multiple underlyings. More...

#include <ql/pricingengines/basket/choibasketengine.hpp>

Inheritance diagram for ChoiBasketEngine:

Public Member Functions
	ChoiBasketEngine (std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > > processes, Matrix rho, Real lambda=10.0, Size maxNrIntegrationSteps=std::numeric_limits< Size >::max(), bool calcfwdDelta=false, bool controlVariate=false)
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 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< BasketOption::arguments, BasketOption::results >
BasketOption::arguments	arguments_
BasketOption::results	results_

Detailed Description

Pricing engine for basket option on multiple underlyings.

This class implements the pricing formula from "Sum of all Black-Scholes-Merton Models: An efficient Pricing Method for Spread, Basket and Asian Options", Jaehyuk Choi, 2018 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2913048

A Python implementation from the author of the paper is also available https://github.com/PyFE/PyFENG

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.