julian::BuildGreeksReport Class Reference

Option Greeks builder. More...

#include <optionGreeksBuilder.hpp>

Public Member Functions
	BuildGreeksReport ()
	Default constructor. More...
BuildGreeksReport &	withDelta (double h=1e-4, NumDiffScheme scheme=NumDiffScheme::CNTR, std::string risk_name="Delta")
	Adds Delta to option risk report. More...
BuildGreeksReport &	withGamma (double h=1e-4, NumDiffScheme scheme=NumDiffScheme::CNTR, std::string risk_name="Gamma")
	Adds Gamma to option risk report. More...
BuildGreeksReport &	withVega (double h=1e-4, NumDiffScheme scheme=NumDiffScheme::CNTR, std::string risk_name="Vega")
	Adds Vega to option risk report. More...
BuildGreeksReport &	withVanna (double hs=1e-4, double hv=1e-4, std::string risk_name="Vanna")
	Adds Vanna to option risk report. More...
BuildGreeksReport &	withVolga (double h=1e-4, NumDiffScheme scheme=NumDiffScheme::CNTR, std::string risk_name="Volga")
	Adds Volga to option risk report. More...
BuildGreeksReport &	withTheta (std::string risk_name="Theta")
	Adds Theta to option risk report. More...
SmartPointer< OptionGreeks >	build ()
	Creates Option Greeks risk report. More...

Private Attributes
SmartPointer< OptionGreeks >	greeks_
	Options greeks risk report. More...

Detailed Description

Option Greeks builder.

Class is used to construct option Greeks decorator.

Examples:

optionPricingExample.cpp.

Constructor & Destructor Documentation

julian::BuildGreeksReport::BuildGreeksReport

(

)

Default constructor.

Member Function Documentation

SmartPointer< OptionGreeks > julian::BuildGreeksReport::build

(

)

Creates Option Greeks risk report.

Examples:

optionPricingExample.cpp.

BuildGreeksReport & julian::BuildGreeksReport::withDelta	(	double	h = 1e-4,
		NumDiffScheme	scheme = NumDiffScheme::CNTR,
		std::string	risk_name = "Delta"
	)

Adds Delta to option risk report.

Parameters

h	Increment used in differencing scheme (1e-4 by default)
scheme	Scheme used in differencing (Central differencing by default).
risk_name	Risk name that will be used as key for result map. Default name is Delta.

Examples:

optionPricingExample.cpp.

BuildGreeksReport & julian::BuildGreeksReport::withGamma	(	double	h = 1e-4,
		NumDiffScheme	scheme = NumDiffScheme::CNTR,
		std::string	risk_name = "Gamma"
	)

Adds Gamma to option risk report.

Parameters

h	Increment used in differencing scheme (1e-4 by default)
scheme	Scheme used in differencing (Central differencing by default).
risk_name	Risk name that will be used as key for result map. Default name is Gamma.

Examples:

optionPricingExample.cpp.

BuildGreeksReport & julian::BuildGreeksReport::withTheta

(

std::string

risk_name = "Theta"

)

Adds Theta to option risk report.

Parameters

risk_name

Risk name that will be used as key for result map. Default name is Theta.

Examples:

optionPricingExample.cpp.

BuildGreeksReport & julian::BuildGreeksReport::withVanna	(	double	hs = 1e-4,
		double	hv = 1e-4,
		std::string	risk_name = "Vanna"
	)

Adds Vanna to option risk report.

Parameters

hs	Increment used in differencing scheme for spot direction (1e-4 by default)
hv	Increment used in differencing scheme for volatility direction (1e-4 by default)
risk_name	Risk name that will be used as key for result map. Default name is Volga.

Examples:

optionPricingExample.cpp.

BuildGreeksReport & julian::BuildGreeksReport::withVega	(	double	h = 1e-4,
		NumDiffScheme	scheme = NumDiffScheme::CNTR,
		std::string	risk_name = "Vega"
	)

Adds Vega to option risk report.

Parameters

h	Increment used in differencing scheme (1e-4 by default)
scheme	Scheme used in differencing (Central differencing by default).
risk_name	Risk name that will be used as key for result map. Default name is Vega.

Examples:

optionPricingExample.cpp.

BuildGreeksReport & julian::BuildGreeksReport::withVolga	(	double	h = 1e-4,
		NumDiffScheme	scheme = NumDiffScheme::CNTR,
		std::string	risk_name = "Volga"
	)

Adds Volga to option risk report.

Parameters

h	Increment used in differencing scheme (1e-4 by default)
scheme	Scheme used in differencing (Central differencing by default).
risk_name	Risk name that will be used as key for result map. Default name is Volga.

Examples:

optionPricingExample.cpp.

Member Data Documentation

SmartPointer<OptionGreeks> julian::BuildGreeksReport::greeks_

private

Options greeks risk report.

---

The documentation for this class was generated from the following files:

• C:/Unix/home/OEM/jULIAN/src/pricingEngines/optionGreeks/optionGreeksBuilder.hpp
• C:/Unix/home/OEM/jULIAN/src/pricingEngines/optionGreeks/optionGreeksBuilder.cpp