Pricing engine for spread option on two futures. More...
#include <bjerksundstenslandspreadengine.hpp>
Inheritance diagram for BjerksundStenslandSpreadEngine:
Collaboration diagram for BjerksundStenslandSpreadEngine:
Public Member Functions | |
| BjerksundStenslandSpreadEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Real correlation) | |
| Public Member Functions inherited from SpreadBlackScholesVanillaEngine | |
| SpreadBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Real correlation) | |
| 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 () |
Protected Member Functions | |
| Real | calculate (Real f1, Real f2, Real strike, Option::Type optionType, Real variance1, Real variance2, DiscountFactor df) const override |
| virtual Real | calculate (Real f1, Real f2, Real strike, Option::Type optionType, Real variance1, Real variance2, DiscountFactor df) const =0 |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from SpreadBlackScholesVanillaEngine | |
| const ext::shared_ptr< GeneralizedBlackScholesProcess > | process1_ |
| const ext::shared_ptr< GeneralizedBlackScholesProcess > | process2_ |
| const Real | rho_ |
| Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results > | |
| BasketOption::arguments | arguments_ |
| BasketOption::results | results_ |
Detailed Description
Pricing engine for spread option on two futures.
P. Bjerksund and G. Stensland, Closed form spread option valuation, Quantitative Finance, 14 (2014), pp. 1785–1794.
Definition at line 38 of file bjerksundstenslandspreadengine.hpp.
Constructor & Destructor Documentation
◆ BjerksundStenslandSpreadEngine()
| BjerksundStenslandSpreadEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process1, |
| ext::shared_ptr< GeneralizedBlackScholesProcess > | process2, | ||
| Real | correlation | ||
| ) |
Definition at line 26 of file bjerksundstenslandspreadengine.cpp.
Member Function Documentation
◆ calculate()
|
overrideprotectedvirtual |
Implements SpreadBlackScholesVanillaEngine.
Definition at line 33 of file bjerksundstenslandspreadengine.cpp.