Calculates option's theta. More...

#include <optionTheta.hpp>

Inheritance diagram for julian::OptionTheta:

Public Member Functions
	OptionTheta (SmartPointer< OptionGreeks > input, const std::string &risk_name="Theta")
	Constructor. More...

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

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

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

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

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

Detailed Description

Calculates option's theta.

This method calculates Theta. Method moves the market to next day and calculates the difference in $Theta = PV(T+1) - PV(T)$ Theta does not change the market data, the change of the value is connected only with change in time value of the option. The result is saved in map. OptionTheta is a concrete decorator in decorator structure. Concrete Decorator is a class that altered alters the behaviour of Concrete Component.

Constructor & Destructor Documentation

julian::OptionTheta::OptionTheta	(	SmartPointer< OptionGreeks >	input,
		const std::string &	risk_name = `"Theta"`
	)

inline

Constructor.

Member Function Documentation

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

virtual

calculates the option's theta

$ Theta = PV(T+1Day) -PV(T)$

Reimplemented from julian::OptionGreeksDecorator.

OptionTheta * julian::OptionTheta::clone ( ) const

virtual

Virtual copy constructor.

Reimplemented from julian::OptionGreeksDecorator.

std::map< std::string, double > julian::OptionTheta::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

std::string julian::OptionTheta::risk_name_

private

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

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

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

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation