TurnbullWakemanAsianEngine Class Reference

#include <ql/pricingengines/asian/turnbullwakemanasianengine.hpp>

Inheritance diagram for TurnbullWakemanAsianEngine:

Public Member Functions
	TurnbullWakemanAsianEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
void	calculate () const override
Public Member Functions inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::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< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >
DiscreteAveragingAsianOption::arguments	arguments_
DiscreteAveragingAsianOption::results	results_

Detailed Description

Turnbull Wakeman two moment-matching Asian option Engine Analytical pricing based on the two-moment Turnbull-Wakeman approximation. References: "Commodity Option Pricing", Iain Clark, Wiley, section 2.7.4. "Option Pricing Formulas, Second Edition", E.G. Haug, 2006, pp. 192-202. Some parts of the implementation were modeled after calculations from the CommodityAveragePriceOptionAnalyticalEngine class in Open Source Risk Engine (https://github.com/OpenSourceRisk/Engine).

Tests

• the correctness of the returned value is tested by reproducing results in literature with flat as well as upward and downward sloping volatility term structures.
• the pricing of trades with guaranteed exercise/OTM is also tested.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.