optionVega.hpp

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#ifndef JULIAN_OPTIONVEGA_HPP
#define JULIAN_OPTIONVEGA_HPP

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

namespace julian {
  class OptionVega: public OptionGreeksDecorator {
  public:
    OptionVega(SmartPointer<OptionGreeks> input,double h, NumDiffScheme scheme, std::string risk_name = "Vega"):
      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);
    OptionVega* clone() const;
  
    ~OptionVega(){};
  private:
    double h_ ; 
    NumDiffScheme scheme_ ; 
    std::string risk_name_; 
    void CntrVega(GreeksIntermediateResults& rr,
          const SmartPointer<MarketModel>& model,
          const SmartPointer<PricingEngine>& prizer,
          const SmartPointer<Option>& option);
    void FwdVega(GreeksIntermediateResults& rr,
         const SmartPointer<MarketModel>& model,
         const SmartPointer<PricingEngine>& prizer,
         const SmartPointer<Option>& option);
    void BwdVega(GreeksIntermediateResults& rr,
         const SmartPointer<MarketModel>& model,
         const SmartPointer<PricingEngine>& prizer,
         const SmartPointer<Option>& option);
  };
}
#endif