Calculates option's vega. More...

#include <optionVega.hpp>

Inheritance diagram for julian::OptionVega:

Public Member Functions
	OptionVega (SmartPointer< OptionGreeks > input, double h, NumDiffScheme scheme, std::string risk_name="Vega")
	Constructor. More...

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

OptionVega *	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 Member Functions
void	CntrVega (GreeksIntermediateResults &rr, const SmartPointer< MarketModel > &model, const SmartPointer< PricingEngine > &prizer, const SmartPointer< Option > &option)
	Calculates Vega using central differencing scheme. More...

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

void	BwdVega (GreeksIntermediateResults &rr, const SmartPointer< MarketModel > &model, const SmartPointer< PricingEngine > &prizer, const SmartPointer< Option > &option)
	Calculates Vega 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 Vega. More...

Detailed Description

Calculates option's vega.

This method calculates Vega. Using the method prize of julian::PricingEngine and bumpVolatility of julian::MarketModel it calculates the option sensitivity to asset volatility. Vega of option is can be calculated using the finite difference scheme

$Vega = \frac{\partial PV}{\partial Vol} \approx \frac{PV(Vol+h) - PV(Vol)}{h}$ when forward differencing is used
$Vega = \frac{\partial PV}{\partial Vol} \approx \frac{PV(Vol) - PV(Vol-h)}{h}$ when backward differencing is used
$Vega = \frac{\partial PV}{\partial Vol} \approx \frac{PV(Vol+h) - PV(Vol-h)}{2h}$ when central differencing is used

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

Constructor & Destructor Documentation

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

inline

Constructor.

Member Function Documentation

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

private

Calculates Vega using backward differencing scheme.

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

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

virtual

calculates the option's Vega

Vega of option is calculated using the finite difference scheme

$Vega = \frac{\partial PV}{\partial Vol} \approx \frac{PV(Vol+h) - PV(Vol)}{h}$ when forward differencing is used
$Vega = \frac{\partial PV}{\partial Vol} \approx \frac{PV(Vol) - PV(Vol-h)}{h}$ when backward differencing is used
$Vega = \frac{\partial PV}{\partial Vol} \approx \frac{PV(Vol+h) - PV(Vol-h)}{2h}$ when central differencing is used

Returns: method returns map with key "Vega" and value of Vega

Reimplemented from julian::OptionGreeksDecorator.

OptionVega * julian::OptionVega::clone ( ) const

virtual

virtual copy constructor

Reimplemented from julian::OptionGreeksDecorator.

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

private

Calculates Vega using central differencing scheme.

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

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

private

Calculates Vega using forward differencing scheme.

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

std::map< std::string, double > julian::OptionVega::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::OptionVega::h_

private

Increment used in differencing scheme.

std::string julian::OptionVega::risk_name_

private

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

NumDiffScheme julian::OptionVega::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/optionVega.hpp
C:/Unix/home/OEM/jULIAN/src/pricingEngines/optionGreeks/optionVega.cpp

Public Member Functions

Private Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Member Data Documentation