optionVanna.hpp

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#ifndef JULIAN_OPTIONVANNA_HPP
#define JULIAN_OPTIONVANNA_HPP

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

namespace julian {
  class OptionVanna: public OptionGreeksDecorator {
  public:
    OptionVanna(SmartPointer<OptionGreeks> input, double hs, double hv, std::string risk_name = "Vanna"):
      OptionGreeksDecorator(input), hs_(hs), hv_(hv), risk_name_(risk_name) {}
    std::map<std::string,double> getRisks(const SmartPointer<MarketModel>& model,
                      const SmartPointer<PricingEngine>& prizer,
                      const SmartPointer<Option>& option);
    GreeksIntermediateResults calculateRisks(const SmartPointer<MarketModel>& model,
                         const SmartPointer<PricingEngine>& prizer,
                         const SmartPointer<Option>& option);
    OptionVanna* clone() const;
  
    ~OptionVanna(){};
  private:
    double hs_ ; 
    double hv_ ; 
    std::string risk_name_; 
  };
}  // namespace julian

#endif