julian::MarketModel Class Reference

Interface for objects representing market models. More...

#include <marketModel.hpp>

Inheritance diagram for julian::MarketModel:

Public Member Functions
virtual Date	getDate () const =0
	returns the date on which market data are actual More...
virtual double	getAssetPrize () const =0
	returns the prize of asset More...
virtual SmartPointer< ir::Curve >	getDiscountingCurve () const =0
	returns discounting curve More...
virtual SmartPointer< ir::Curve >	getDividendCurve () const =0
	returns dividend curve More...
virtual void	setDate (Date &date)=0
	sets the market date More...
virtual void	setAssetPrize (double prize)=0
	sets asset prize More...
virtual void	bumpAssetPrize (double h)=0
	bump asset prize additively More...
virtual void	bumpVolatility (double h)=0
	bump volatility additively More...
virtual double	prizeAnalytically (const EuropeanOpt &opt) const =0
	prize EuropeanOpt analytically More...
virtual MarketModel *	clone () const =0
	virtual copy constructor More...
virtual	~MarketModel ()
	destructor More...

Detailed Description

Interface for objects representing market models.

Market model is an object holding information about market state (interest rates, yields, volatility, asset prize) and its dynamics (usually represented by stochastic process).

Constructor & Destructor Documentation

virtual julian::MarketModel::~MarketModel ( )

inlinevirtual

destructor

Member Function Documentation

virtual void julian::MarketModel::bumpAssetPrize ( double  h )

pure virtual

bump asset prize additively

Parameters

h

bump size

Implemented in julian::BlackScholesModel.

virtual void julian::MarketModel::bumpVolatility ( double  h )

pure virtual

bump volatility additively

Parameters

h

bump size

Note

Depending on the market model bumping volatility may have different mechanism

Implemented in julian::BlackScholesModel.

virtual MarketModel* julian::MarketModel::clone ( ) const

pure virtual

virtual copy constructor

Implemented in julian::DeeplyCopyableMarketModel< T >, and julian::DeeplyCopyableMarketModel< BlackScholesModel >.

virtual double julian::MarketModel::getAssetPrize ( ) const

pure virtual

returns the prize of asset

Implemented in julian::BlackScholesModel.

virtual Date julian::MarketModel::getDate ( ) const

pure virtual

returns the date on which market data are actual

Implemented in julian::BlackScholesModel.

virtual SmartPointer<ir::Curve> julian::MarketModel::getDiscountingCurve ( ) const

pure virtual

returns discounting curve

Implemented in julian::BlackScholesModel.

virtual SmartPointer<ir::Curve> julian::MarketModel::getDividendCurve ( ) const

pure virtual

returns dividend curve

Implemented in julian::BlackScholesModel.

virtual double julian::MarketModel::prizeAnalytically ( const EuropeanOpt &  opt ) const

pure virtual

prize EuropeanOpt analytically

Implemented in julian::BlackScholesModel.

virtual void julian::MarketModel::setAssetPrize ( double  prize )

pure virtual

sets asset prize

Parameters

prize

new asset prize

Implemented in julian::BlackScholesModel.

virtual void julian::MarketModel::setDate ( Date &  date )

pure virtual

sets the market date

Parameters

date	New market date

Implemented in julian::BlackScholesModel.

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

• C:/Unix/home/OEM/jULIAN/src/marketModels/marketModel.hpp