Calculates option's gamma. More...

#include <optionGamma.hpp>

Inheritance diagram for julian::OptionGamma:

Public Member Functions
	OptionGamma (SmartPointer< OptionGreeks > input, double h, NumDiffScheme scheme, std::string risk_name="Gamma")
	constructor More...

GreeksIntermediateResults	calculateRisks (const SmartPointer< MarketModel > &model, const SmartPointer< PricingEngine > &prizer, const SmartPointer< Option > &option)
	Calculates the option's gamma. More...

std::map< std::string, double >	getRisks (const SmartPointer< MarketModel > &model, const SmartPointer< PricingEngine > &prizer, const SmartPointer< Option > &option)
	Returns the PV and Greek parameter. More...

OptionGamma *	clone () const
	virtual copy constructor More...

Public Member Functions inherited from julian::OptionGreeksDecorator
	OptionGreeksDecorator (SmartPointer< OptionGreeks > risks)
	Constructor. More...

OptionGreeksDecorator *	clone () const
	Virtual copy constructor. More...

Public Member Functions inherited from julian::OptionGreeks
virtual	~OptionGreeks ()
	Destructor. More...

Private Member Functions
void	CntrGamma (GreeksIntermediateResults &rr, const SmartPointer< MarketModel > &model, const SmartPointer< PricingEngine > &prizer, const SmartPointer< Option > &option)
	Calculates gamma using central differencing scheme. More...

void	FwdGamma (GreeksIntermediateResults &rr, const SmartPointer< MarketModel > &model, const SmartPointer< PricingEngine > &prizer, const SmartPointer< Option > &option)
	Calculates gamma using forward differencing scheme. More...

void	BwdGamma (GreeksIntermediateResults &rr, const SmartPointer< MarketModel > &model, const SmartPointer< PricingEngine > &prizer, const SmartPointer< Option > &option)
	Calculates gamma using backward differencing scheme. More...

Private Attributes
double	h_
	Increment used in differencing scheme. More...

NumDiffScheme	scheme_
	Scheme used in differencing. More...

std::string	risk_name_
	Risk name that will be used as key for result map. Default name is Gamma. More...

Detailed Description

Calculates option's gamma.

This method calculates Gamma. Using the method prize of julian::PricingEngine and bumpSpot of julian::MarketModel it calculates the second derivative of option prize wrt to spot prize. Delta of option is calculated using the finite difference scheme

$\Gamma = \frac{\partial^2 PV}{\partial Spot^2} \approx \frac{PV(Spot+2h) - 2PV(Spot+h) + PV(Spot)}{h^2}$ when forward scheme is used,
$\Gamma = \frac{\partial^2 PV}{\partial Spot^2} \approx \frac{PV(Spot) - 2PV(Spot-h) + PV(Spot-2h)}{h^2}$ when backward scheme is used,
$\Gamma = \frac{\partial^2 PV}{\partial Spot^2} \approx \frac{PV(Spot+h) - 2PV(Spot) + PV(Spot-h)}{h^2}$ when central scheme is used.

The result is saved in map. OptionGamma is a concrete decorator in decorator structure. Concrete Decorator is a class that altered alters the behaviour of Concrete Component.

Constructor & Destructor Documentation

julian::OptionGamma::OptionGamma	(	SmartPointer< OptionGreeks >	input,
		double	h,
		NumDiffScheme	scheme,
		std::string	risk_name = `"Gamma"`
	)

inline

constructor

Member Function Documentation

void julian::OptionGamma::BwdGamma	(	GreeksIntermediateResults &	rr,
		const SmartPointer< MarketModel > &	model,
		const SmartPointer< PricingEngine > &	prizer,
		const SmartPointer< Option > &	option
	)

private

Calculates gamma using backward differencing scheme.

Method checks if the PV for a given market shifts were calculated. If yes, it uses them in estimating the Gamma. If they were not calculated, it performs calculations, saves them and then calculates Gamma.

GreeksIntermediateResults julian::OptionGamma::calculateRisks	(	const SmartPointer< MarketModel > &	model,
		const SmartPointer< PricingEngine > &	prizer,
		const SmartPointer< Option > &	option
	)

virtual

Calculates the option's gamma.

Delta of option is calculated using the finite difference scheme

$\Gamma = \frac{\partial^2 PV}{\partial Spot^2} \approx \frac{PV(Spot+2h) - 2PV(Spot+h) + PV(Spot)}{h^2}$ when forward scheme is used,
$\Gamma = \frac{\partial^2 PV}{\partial Spot^2} \approx \frac{PV(Spot) - 2PV(Spot-h) + PV(Spot-2h)}{h^2}$ when backward scheme is used,
$\Gamma = \frac{\partial^2 PV}{\partial Spot^2} \approx \frac{PV(Spot+h) - 2PV(Spot) + PV(Spot-h)}{h^2}$ when central scheme is used.

Reimplemented from julian::OptionGreeksDecorator.

OptionGamma * julian::OptionGamma::clone ( ) const

virtual

virtual copy constructor

Reimplemented from julian::OptionGreeks.

void julian::OptionGamma::CntrGamma	(	GreeksIntermediateResults &	rr,
		const SmartPointer< MarketModel > &	model,
		const SmartPointer< PricingEngine > &	prizer,
		const SmartPointer< Option > &	option
	)

private

Calculates gamma using central differencing scheme.

Method checks if the PV for a given market shifts were calculated. If yes, it uses them in estimating the Gamma. If they were not calculated, it performs calculations, saves them and then calculates Gamma.

void julian::OptionGamma::FwdGamma	(	GreeksIntermediateResults &	rr,
		const SmartPointer< MarketModel > &	model,
		const SmartPointer< PricingEngine > &	prizer,
		const SmartPointer< Option > &	option
	)

private

Calculates gamma using forward differencing scheme.

Method checks if the PV for a given market shifts were calculated. If yes, it uses them in estimating the Gamma. If they were not calculated, it performs calculations, saves them and then calculates Gamma.

std::map< std::string, double > julian::OptionGamma::getRisks	(	const SmartPointer< MarketModel > &	model,
		const SmartPointer< PricingEngine > &	prizer,
		const SmartPointer< Option > &	option
	)

virtual

Returns the PV and Greek parameter.

Returns: method returns map with name of Greeks as key and the value of Greeks as value

Reimplemented from julian::OptionGreeksDecorator.

Member Data Documentation

double julian::OptionGamma::h_

private

Increment used in differencing scheme.

std::string julian::OptionGamma::risk_name_

private

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

NumDiffScheme julian::OptionGamma::scheme_

private

Scheme used in differencing.

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

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

Public Member Functions

Private Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation