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oneassetoption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2003 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2007 StatPro Italia srl

 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 oneassetoption.hpp
    \brief Option on a single asset
*/

#ifndef quantlib_oneasset_option_hpp
#define quantlib_oneasset_option_hpp

#include <ql/option.hpp>
#include <ql/stochasticprocess.hpp>
#include <ql/quotes/simplequote.hpp>

namespace QuantLib {

    //! Base class for options on a single asset
00036     class OneAssetOption : public Option {
      public:
        class engine;
        OneAssetOption(const boost::shared_ptr<StochasticProcess>&,
                       const boost::shared_ptr<Payoff>&,
                       const boost::shared_ptr<Exercise>&,
                       const boost::shared_ptr<PricingEngine>& engine =
                                          boost::shared_ptr<PricingEngine>());
        //! \name Instrument interface
        //@{
        class arguments;
        class results;
        bool isExpired() const;
        //@}
        //! \name greeks
        //@{
        Real delta() const;
        Real deltaForward() const;
        Real elasticity() const;
        Real gamma() const;
        Real theta() const;
        Real thetaPerDay() const;
        Real vega() const;
        Real rho() const;
        Real dividendRho() const;
        Real itmCashProbability() const;
        //@}
        /*! \warning currently, this method returns the Black-Scholes
                     implied volatility. It will give unconsistent
                     results if the pricing was performed with any other
                     methods (such as jump-diffusion models.)
            \warning options with a gamma that changes sign have
                     values that are <b>not</b> monotonic in the
                     volatility, e.g binary options. In these cases
                     the calculation can fail and the result (if any)
                     is almost meaningless.  Another possible source of
                     failure is to have a target value that is not
                     attainable with any volatility, e.g., a
                     target value lower than the intrinsic value in the
                     case of American options.

        */
        Volatility impliedVolatility(Real price,
                                     Real accuracy = 1.0e-4,
                                     Size maxEvaluations = 100,
                                     Volatility minVol = 1.0e-7,
                                     Volatility maxVol = 4.0) const;
        void setupArguments(PricingEngine::arguments*) const;
        void fetchResults(const PricingEngine::results*) const;
      protected:
        void setupExpired() const;
        // results
        mutable Real delta_, deltaForward_, elasticity_, gamma_, theta_,
            thetaPerDay_, vega_, rho_, dividendRho_, itmCashProbability_;
        // arguments
        boost::shared_ptr<StochasticProcess> stochasticProcess_;
      private:
        // helper class for implied volatility calculation
        class ImpliedVolHelper {
          public:
            ImpliedVolHelper(const boost::shared_ptr<PricingEngine>& engine,
                             Real targetValue);
            Real operator()(Volatility x) const;
          private:
            boost::shared_ptr<PricingEngine> engine_;
            Real targetValue_;
            boost::shared_ptr<SimpleQuote> vol_;
            const Instrument::results* results_;
        };
    };

    //! %Arguments for single-asset option calculation
00108     class OneAssetOption::arguments : public Option::arguments {
      public:
        arguments() {}
        void validate() const;
        boost::shared_ptr<StochasticProcess> stochasticProcess;
    };

    //! %Results from single-asset option calculation
00116     class OneAssetOption::results : public Instrument::results,
                                    public Greeks,
                                    public MoreGreeks {
      public:
        void reset() {
            Instrument::results::reset();
            Greeks::reset();
            MoreGreeks::reset();
        }
    };
    class OneAssetOption::engine :
        public GenericEngine<OneAssetOption::arguments,
                             OneAssetOption::results> {};
}


#endif


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