Vanilla option engines
[Pricing engines]
Detailed Description
Classes | |
| 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 | 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 | 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 |
| 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.