QuantLib: TurnbullWakemanAsianEngine Class Reference

#include <turnbullwakemanasianengine.hpp>

Inheritance diagram for TurnbullWakemanAsianEngine:

Collaboration 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 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
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

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.

Definition at line 47 of file turnbullwakemanasianengine.hpp.