Class implements Plain Vanilla European Option. More...

#include <europeanOpt.hpp>

Inheritance diagram for julian::EuropeanOpt:

Public Member Functions
	EuropeanOpt ()
	default constructor More...

	EuropeanOpt (Date trade_date, Date start_date, Date expiry_date, Date delivery_date, double notional, double strike, CallPut icp)
	Constructor. More...

double	prizeAnalytically (const SmartPointer< MarketModel > &) const override
	calculates the price of option using market model provided More...

double	prizePaths (std::vector< Path >, double) const override
	calculates the option value basing on the paths provided by Monte Carlo Pricer More...

Date	getExpiry () const override
	returns expiry date More...

Date	getMaturity () const override
	returns maturity date More...

double	getStrike () const override
	returns strike More...

void	recordFixing (Date, double) override
	Empty method. More...

CallPut	getType () const
	returns option type More...

double	payoff (double) const override
	Calculates payoff at expiry. More...

std::tuple< Date, Date, double, double, CallPut >	getSettings () const
	returns the tuple of option's parameters More...

virtual EuropeanOpt *	clone () const override
	Virtual copy constructor. More...

virtual	~EuropeanOpt ()
	destructor More...

Public Member Functions inherited from julian::Option
virtual	~Option ()
	destructor More...

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int)
	interface used by Boost serialization library More...

Private Attributes
Date	trade_date_
	date of trade More...

Date	start_date_
	date on which payoff is discounted More...

Date	expiry_date_
	Date of establishing the pay off amount. More...

Date	delivery_date_
	Date when option is settled. More...

double	notional_
	notional of trade More...

double	strike_
	options strike More...

CallPut	icp_
	options type More...

Friends
class	boost::serialization::access

std::ostream &	operator<< (std::ostream &, EuropeanOpt &)
	Overloads stream operator. More...

Detailed Description

Class implements Plain Vanilla European Option.

Plain European Option can be only exercise at expiry date.

Pay-off:

In case of Call
$max(Spot_{T}-K,0)$
In case of Put
$max(K-Spot_{T},0)$

Examples:: optionPricingExample.cpp.

Constructor & Destructor Documentation

julian::EuropeanOpt::EuropeanOpt ( )

inline

default constructor

julian::EuropeanOpt::EuropeanOpt	(	Date	trade_date,
		Date	start_date,
		Date	expiry_date,
		Date	delivery_date,
		double	notional,
		double	strike,
		CallPut	icp
	)

Constructor.

virtual julian::EuropeanOpt::~EuropeanOpt ( )

inlinevirtual

destructor

Member Function Documentation

EuropeanOpt * julian::EuropeanOpt::clone ( ) const

overridevirtual

Virtual copy constructor.

Implements julian::Option.

Date julian::EuropeanOpt::getExpiry ( ) const

overridevirtual

returns expiry date

Implements julian::Option.

Date julian::EuropeanOpt::getMaturity ( ) const

overridevirtual

returns maturity date

Implements julian::Option.

std::tuple< Date, Date, double, double, CallPut > julian::EuropeanOpt::getSettings ( ) const

returns the tuple of option's parameters

Method is used by analytical prizing engine

double julian::EuropeanOpt::getStrike ( ) const

overridevirtual

returns strike

Implements julian::Option.

CallPut julian::EuropeanOpt::getType ( ) const

returns option type

double julian::EuropeanOpt::payoff ( double S ) const

overridevirtual

Calculates payoff at expiry.

Pay-off:

In case of Call
$max(Spot_{T}-K,0)$
In case of Call
$max(K-Spot_{T},0)$

Implements julian::Option.

double julian::EuropeanOpt::prizeAnalytically ( const SmartPointer< MarketModel > & model ) const

overridevirtual

calculates the price of option using market model provided

Implements julian::Option.

double julian::EuropeanOpt::prizePaths	(	std::vector< Path >	paths,
		double	df
	)		const

overridevirtual

calculates the option value basing on the paths provided by Monte Carlo Pricer

$Prize = DF \frac{1}{\#paths} \sum^{n=\#paths}_{n=1} Payoff(S_{n}(T_{expiry}))$

Implements julian::Option.

void julian::EuropeanOpt::recordFixing	(	Date	,
		double
	)

overridevirtual

Empty method.

Reimplemented from julian::Option.

template<class Archive >

void julian::EuropeanOpt::serialize	(	Archive &	ar,
		const unsigned	int
	)

inlineprivate

interface used by Boost serialization library

Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	s,
		EuropeanOpt &	opt
	)

friend

Overloads stream operator.

This overloaded operator enables to print the curve on the console.

Member Data Documentation

Date julian::EuropeanOpt::delivery_date_

private

Date when option is settled.

Date julian::EuropeanOpt::expiry_date_

private

Date of establishing the pay off amount.

CallPut julian::EuropeanOpt::icp_

private

options type

double julian::EuropeanOpt::notional_

private

notional of trade

Date julian::EuropeanOpt::start_date_

private

date on which payoff is discounted

double julian::EuropeanOpt::strike_

private

options strike

Date julian::EuropeanOpt::trade_date_

private

date of trade

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

C:/Unix/home/OEM/jULIAN/src/instruments/options/europeanOpt.hpp
C:/Unix/home/OEM/jULIAN/src/instruments/options/europeanOpt.cpp

Public Member Functions

Private Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation