Vanilla option engines
[Pricing engines]
Classes | |
class | FdBlackScholesVanillaEngine |
Finite-Differences Black Scholes vanilla option engine. More... | |
class | FdHestonVanillaEngine |
Finite-Differences Heston Vanilla Option engine. More... | |
class | AnalyticBSMHullWhiteEngine |
analytic european option pricer including stochastic interest rates More... | |
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 | AnalyticGJRGARCHEngine |
GJR-GARCH(1,1) engine. More... | |
class | AnalyticHestonEngine |
analytic Heston-model engine based on Fourier transform More... | |
class | AnalyticHestonHullWhiteEngine |
Analytic Heston engine incl. stochastic interest rates. 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 engine for dividend options using shifted dividends. 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 | FDVanillaEngine |
Finite-differences pricing engine for BSM one asset 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 | MCEuropeanGJRGARCHEngine |
Monte Carlo GJR-GARCH-model engine for European options. 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. |
Detailed Description
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 |
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.