optionVolga.hpp

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#ifndef JULIAN_OPTIONVOLGA_HPP
#define JULIAN_OPTIONVOLGA_HPP

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

namespace julian {
  class OptionVolga: public OptionGreeksDecorator {
  public:
    OptionVolga(SmartPointer<OptionGreeks> input, double h, NumDiffScheme scheme, std::string risk_name = "Volga"):
      OptionGreeksDecorator(input), scheme_(scheme), h_(h), 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);
    OptionVolga* clone() const;
  
    ~OptionVolga(){};
  private:
    NumDiffScheme scheme_ ; 
    double h_ ; 
    std::string risk_name_; 
    void CntrVolga(GreeksIntermediateResults& rr,
           const SmartPointer<MarketModel>& model,
           const SmartPointer<PricingEngine>& prizer,
           const SmartPointer<Option>& option);
    void FwdVolga(GreeksIntermediateResults& rr,
          const SmartPointer<MarketModel>& model,
          const SmartPointer<PricingEngine>& prizer,
          const SmartPointer<Option>& option);
    void BwdVolga(GreeksIntermediateResults& rr,
          const SmartPointer<MarketModel>& model,
          const SmartPointer<PricingEngine>& prizer,
          const SmartPointer<Option>& option);
  };
}  // namespace julian

#endif