analytictwoassetbarrierengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2012 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file analytictwoassetbarrierengine.hpp
    \brief Analytic engine for barrier option on two assets
*/
 
#ifndef quantlib_analytic_two_asset_barrier_engine_hpp
#define quantlib_analytic_two_asset_barrier_engine_hpp
 
#include <ql/instruments/twoassetbarrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
 
namespace QuantLib {
 
    //! Analytic engine for %barrier %option on two assets
    /*! The formulas by Heynen and Kat are taken from Haug, "Option
        pricing formulas".
 
        \ingroup barrierengines
 
        \test the correctness of the returned value is tested by
              reproducing results available in literature.
     */
    class AnalyticTwoAssetBarrierEngine
        : public TwoAssetBarrierOption::engine {
      public:
        AnalyticTwoAssetBarrierEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process1,
                                      ext::shared_ptr<GeneralizedBlackScholesProcess> process2,
                                      Handle<Quote> rho);
        void calculate() const override;
 
      private:
        ext::shared_ptr<GeneralizedBlackScholesProcess> process1_;
        ext::shared_ptr<GeneralizedBlackScholesProcess> process2_;
        Handle<Quote> rho_;
 
        // helper methods
        Real underlying1() const;
        Real underlying2() const;
 
        Real strike() const;
        Time residualTime() const;
 
        Volatility volatility1() const;
        Volatility volatility2() const;
 
        Real barrier() const;
        Real rho() const;
 
        Rate riskFreeRate() const;
 
        Rate dividendYield1() const;
        Rate dividendYield2() const;
 
        Rate costOfCarry1() const;
        Rate costOfCarry2() const;
 
        Real mu(Real b, Real vol) const;
 
        Real d1() const;
        Real d2() const;
        Real d3() const;
        Real d4() const;
 
        Real e1() const;
        Real e2() const;
        Real e3() const;
        Real e4() const;
 
        Real call() const;
        Real put() const;
 
        Real A(Real eta, Real phi) const;
        Real B(Real eta, Real phi) const;
 
        Real M(Real m_a, Real m_b,Real rho) const;
    };
 
}
 
 
#endif