optionGamma.hpp

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#ifndef JULIAN_OPTIONGAMMA_HPP
#define JULIAN_OPTIONGAMMA_HPP

#include <pricingEngines/optionGreeks/optionGreeksDecorator.hpp>
#include <mathematics/mathUtils.hpp>

namespace julian {
  class OptionGamma: public OptionGreeksDecorator {
  public:
    OptionGamma(SmartPointer<OptionGreeks> input, double h, NumDiffScheme scheme, std::string risk_name = "Gamma" ):
      OptionGreeksDecorator(input), h_(h), scheme_(scheme), risk_name_(risk_name) {}
    
    GreeksIntermediateResults calculateRisks(const SmartPointer<MarketModel>& model,
                         const SmartPointer<PricingEngine>& prizer,
                         const SmartPointer<Option>& option);
    
    std::map<std::string,double> getRisks(const SmartPointer<MarketModel>& model,
                      const SmartPointer<PricingEngine>& prizer,
                      const SmartPointer<Option>& option);
    
    OptionGamma* clone() const;
    
    ~OptionGamma(){};
  private:
    void CntrGamma(GreeksIntermediateResults& rr,
           const SmartPointer<MarketModel>& model,
           const SmartPointer<PricingEngine>& prizer,
           const SmartPointer<Option>& option);
    void FwdGamma(GreeksIntermediateResults& rr,
          const SmartPointer<MarketModel>& model,
          const SmartPointer<PricingEngine>& prizer,
          const SmartPointer<Option>& option);
    void BwdGamma(GreeksIntermediateResults& rr,
          const SmartPointer<MarketModel>& model,
          const SmartPointer<PricingEngine>& prizer,
          const SmartPointer<Option>& option);
    
    double h_;
    NumDiffScheme scheme_ ; 
    std::string risk_name_; 
  };
}
#endif