Vanilla option engines
[Pricing engines]


Detailed Description


Classes

class  AnalyticDigitalAmericanEngine
 Analytic pricing engine for American vanilla options with digital payoff. More...
class  AnalyticDividendEuropeanEngine
 Analytic pricing engine for European options with discrete dividends. More...
class  AnalyticEuropeanEngine
 Pricing engine for European vanilla options using analytical formulae. More...
class  AnalyticHestonEngine
 analytic Heston-model engine based on Fourier transform More...
class  BaroneAdesiWhaleyApproximationEngine
 Barone-Adesi and Whaley pricing engine for American options (1987). More...
class  BatesEngine
 Bates model engines based on Fourier transform. More...
class  BinomialVanillaEngine
 Pricing engine for vanilla options using binomial trees. More...
class  BjerksundStenslandApproximationEngine
 Bjerksund and Stensland pricing engine for American options (1993). More...
class  FDBermudanEngine
 Finite-differences Bermudan engine. More...
class  FDDividendEngineMerton73
 Finite-differences pricing engine for dividend options using. More...
class  FDDividendEngineShiftScale
 Finite-differences pricing engine for dividend options using. More...
class  FDEuropeanEngine
 Pricing engine for European options using finite-differences. More...
class  FDStepConditionEngine
 Finite-differences pricing engine for American-style vanilla options. More...
class  IntegralEngine
 Pricing engine for European vanilla options using integral approach. More...
class  JumpDiffusionEngine
 Jump-diffusion engine for vanilla options. More...
class  JuQuadraticApproximationEngine
 Pricing engine for American options with Ju quadratic approximation. More...
class  MCAmericanEngine
 American Monte Carlo engine. More...
class  MCDigitalEngine
 Pricing engine for digital options using Monte Carlo simulation. More...
class  MCEuropeanEngine
 European option pricing engine using Monte Carlo simulation. More...
class  MCEuropeanHestonEngine
 Monte Carlo Heston-model engine for European options. More...
class  MCVanillaEngine
 Pricing engine for vanilla options using Monte Carlo simulation. More...

Typedefs

typedef FDEngineAdapter< FDAmericanCondition<
FDStepConditionEngine >,
OneAssetOption::engine > 
FDAmericanEngine
 Finite-differences pricing engine for American one asset options.
typedef FDEngineAdapter< FDAmericanCondition<
FDDividendEngine >, DividendVanillaOption::engine > 
FDDividendAmericanEngine
 Finite-differences pricing engine for dividend American options.
typedef FDEngineAdapter< FDDividendEngine,
DividendVanillaOption::engine > 
FDDividendEuropeanEngine
 Finite-differences pricing engine for dividend European options.
typedef FDEngineAdapter< FDShoutCondition<
FDDividendEngine >, DividendVanillaOption::engine > 
FDDividendShoutEngine
 Finite-differences shout engine with dividends.
typedef FDEngineAdapter< FDShoutCondition<
FDStepConditionEngine >,
VanillaOption::engine > 
FDShoutEngine
 Finite-differences pricing engine for shout vanilla options.


Typedef Documentation

typedef FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>, OneAssetOption::engine> FDAmericanEngine

Finite-differences pricing engine for American one asset options.

Tests:
  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.
Examples:
EquityOption.cpp.

typedef FDEngineAdapter<FDAmericanCondition<FDDividendEngine>, DividendVanillaOption::engine> FDDividendAmericanEngine

Finite-differences pricing engine for dividend American options.

Tests:
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.
  • the invariance of the results upon addition of null dividends is tested.
Bug:
results are not overly reliable.
Bug:
method impliedVolatility() utterly fails

typedef FDEngineAdapter<FDDividendEngine, DividendVanillaOption::engine> FDDividendEuropeanEngine

Finite-differences pricing engine for dividend European options.

Tests:
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.
  • the invariance of the results upon addition of null dividends is tested.

typedef FDEngineAdapter<FDShoutCondition<FDDividendEngine>, DividendVanillaOption::engine> FDDividendShoutEngine

Finite-differences shout engine with dividends.

Bug:
results are not overly reliable.

typedef FDEngineAdapter<FDShoutCondition<FDStepConditionEngine>, VanillaOption::engine> FDShoutEngine

Finite-differences pricing engine for shout vanilla options.

Tests:
the correctness of the returned greeks is tested by reproducing numerical derivatives.