optionTheta.hpp

Go to the documentation of this file.

#ifndef JULIAN_OPTIONTHETA_HPP
#define JULIAN_OPTIONTHETA_HPP

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

namespace julian {
  class OptionTheta: public OptionGreeksDecorator {
  public:
    OptionTheta(SmartPointer<OptionGreeks> input, const std::string& risk_name = "Theta"):
      OptionGreeksDecorator(input), 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);
    OptionTheta* clone() const;
  
    ~OptionTheta(){};
  private:
    std::string risk_name_; 
  };
}  // namespace julian

#endif