QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
AnalyticCompoundOptionEngine Class Reference

Pricing engine for compound options using analytical formulae. More...

#include <ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp>

+ Inheritance diagram for AnalyticCompoundOptionEngine:

Public Member Functions

 AnalyticCompoundOptionEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &process)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< CompoundOption::arguments, CompoundOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const 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 deepUpdate ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< CompoundOption::arguments, CompoundOption::results >
CompoundOption::arguments arguments_
 
CompoundOption::results results_
 

Detailed Description

Pricing engine for compound options using analytical formulae.

The formulas are taken from "Foreign Exchange Risk", Uwe Wystup, Risk 2002, where closed form Greeks are available. (not available in Haug 2007). Value: Page 84, Greeks: Pages 94-95.

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