ChoiBasketEngine Class Reference

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

#include <choibasketengine.hpp>

Inheritance diagram for ChoiBasketEngine:

Collaboration 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 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 Attributes
const Size	n_
const std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > >	processes_
const Matrix	rho_
const Real	lambda_
const Size	maxNrIntegrationSteps_
const bool	calcFwdDelta_
const bool	controlVariate_

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.

Definition at line 46 of file choibasketengine.hpp.

Constructor & Destructor Documentation

ChoiBasketEngine()

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
	)

Definition at line 40 of file choibasketengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 63 of file choibasketengine.cpp.

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Member Data Documentation

n_

const Size n_

private

Definition at line 60 of file choibasketengine.hpp.

processes_

const std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess> > processes_

private

Definition at line 61 of file choibasketengine.hpp.

rho_

const Matrix rho_

private

Definition at line 62 of file choibasketengine.hpp.

lambda_

const Real lambda_

private

Definition at line 63 of file choibasketengine.hpp.

maxNrIntegrationSteps_

const Size maxNrIntegrationSteps_

private

Definition at line 64 of file choibasketengine.hpp.

calcFwdDelta_

const bool calcFwdDelta_

private

Definition at line 65 of file choibasketengine.hpp.

controlVariate_

const bool controlVariate_

private

Definition at line 65 of file choibasketengine.hpp.