BlackScholesModel.hpp

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#ifndef JULIAN_BLACKSCHOLESMODEL_HPP
#define JULIAN_BLACKSCHOLESMODEL_HPP

#include <marketModels/marketModel.hpp>
#include <marketData/volatility/volatility.hpp>
#include <marketData/interestRateCurves/irCurve.hpp>
#include <marketData/ForwardCurve.hpp>
#include <dates/date.hpp>
#include <mathematics/stochasticProcesses/geometricBrownianMotion.hpp>


namespace julian {

  class BlackScholesModel: public DeeplyCopyableMarketModel<BlackScholesModel> {
  public:
    BlackScholesModel(){};
    BlackScholesModel(const Date& date, const double& asset_prize,
              const SmartPointer<ir::Curve>&  discounting_curve,
              const SmartPointer<ir::Curve>&  dividend_curve,
              const SmartPointer<Volatility>& volatility):
      date_(date), asset_prize_(asset_prize), discounting_curve_(discounting_curve),
      dividend_curve_(dividend_curve), volatility_(volatility) {};

    virtual Date getDate() const override; 
    virtual double getAssetPrize() const override;
    virtual SmartPointer<ir::Curve> getDiscountingCurve() const override;
    virtual SmartPointer<ir::Curve> getDividendCurve() const override;

    virtual void setDate(Date&) override;
    virtual void setAssetPrize(double) override;
    virtual void bumpAssetPrize(double) override;
    virtual void bumpVolatility(double) override;
    
    double prizeAnalytically(const EuropeanOpt&) const override;
    
    virtual ~BlackScholesModel(){};
    
  private:
    Date date_;                                 
    double asset_prize_;                        
    SmartPointer<ir::Curve> discounting_curve_; 
    SmartPointer<ir::Curve> dividend_curve_;    
    SmartPointer<Volatility> volatility_;       
    double calculateDrift(Date) const;
  };
}

#endif /* BLACKSCHOLESMODEL_HPP */