optionGreeksBuilder.hpp

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#ifndef JULIAN_OPTIONGREEKSBUILDER_HPP
#define JULIAN_OPTIONGREEKSBUILDER_HPP

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


namespace julian {
  class BuildGreeksReport {
  public:
    BuildGreeksReport();

    BuildGreeksReport& withDelta(double h = 1e-4,
                 NumDiffScheme scheme = NumDiffScheme::CNTR,
                 std::string risk_name = "Delta");

    BuildGreeksReport& withGamma(double h = 1e-4,
                 NumDiffScheme scheme = NumDiffScheme::CNTR,
                 std::string risk_name = "Gamma");

    BuildGreeksReport& withVega(double h = 1e-4,
                NumDiffScheme scheme = NumDiffScheme::CNTR,
                std::string risk_name = "Vega");

    BuildGreeksReport& withVanna(double hs = 1e-4, double hv = 1e-4,
                 std::string risk_name = "Vanna");

    BuildGreeksReport& withVolga(double h = 1e-4,
                 NumDiffScheme scheme = NumDiffScheme::CNTR,
                 std::string risk_name = "Volga");

    BuildGreeksReport& withTheta(std::string risk_name = "Theta");
    
    SmartPointer<OptionGreeks> build();
    
    ~BuildGreeksReport(){};
  private:
    SmartPointer<OptionGreeks> greeks_; 
  };
 
  
}  // namespace julian

#endif /* JULIAN_OPTIONGREEKSBUILDER_HPP */