KirkEngine Class Reference

Pricing engine for spread option on two futures. More...

#include <kirkengine.hpp>

Inheritance diagram for KirkEngine:

Collaboration diagram for KirkEngine:

Public Member Functions
	KirkEngine (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.

This class implements formulae from "Correlation in the Energy Markets", E. Kirk Managing Energy Price Risk. London: Risk Publications and Enron, pp. 71-78

Tests:

the correctness of the returned value is tested by reproducing results available in literature.

Definition at line 42 of file kirkengine.hpp.

Constructor & Destructor Documentation

KirkEngine()

KirkEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process1,
		ext::shared_ptr< GeneralizedBlackScholesProcess >	process2,
		Real	correlation
	)

Definition at line 27 of file kirkengine.cpp.

Member Function Documentation

calculate()

Real calculate ( Real  f1, Real  f2, Real  strike, Option::Type  optionType, Real  variance1, Real  variance2, DiscountFactor  df  ) const

overrideprotectedvirtual

Implements SpreadBlackScholesVanillaEngine.

Definition at line 33 of file kirkengine.cpp.

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