marian::EuroOpt Class Reference

Class implementing a European options. More...

#include <euroOpt.hpp>

Inheritance diagram for marian::EuroOpt:

Public Member Functions
double	payoff (const double s) const
	Calculates payoff. More...
Constructors
	EuroOpt ()
	Default constructor.
	EuroOpt (double strike, double T, OptionType type)
	Constructor. More...
SmartPointer< AbstractPricerFactory >	allocateFactory () const override
	Method allocating Abstract Factory. More...
Getters
double	getK () const
	Returns strike. More...
double	getT () const override
	Returns maturity. More...
OptionType	getType () const
	Returns option's type. More...
Public Member Functions inherited from marian::DCOption< EuroOpt >
virtual Option *	clone () const
	Virtual copy constructor.
Public Member Functions inherited from marian::Option
virtual	~Option ()
	Destructor.

Private Attributes
double	strike_
	Option's strike.
double	T_
	Option's maturity.
OptionType	type_
	Option's type.

Friends
std::ostream &	operator<< (std::ostream &, EuroOpt &)

Detailed Description

Examples:

convergenceExample.cpp.

Constructor & Destructor Documentation

marian::EuroOpt::EuroOpt ( double  strike, double  T, OptionType  type  )

inline

Parameters

strike	Option's strike
T	Option's maturity
type	Option's type

Member Function Documentation

SmartPointer< AbstractPricerFactory > marian::EuroOpt::allocateFactory ( ) const

overridevirtual

Method is used by FDM pricer to generate settings of finite difference algorithm. This method returns marian::EuroOptFactory .

Implements marian::Option.

double marian::EuroOpt::getK

(

)

const

Returns

Option's strike

double marian::EuroOpt::getT ( ) const

overridevirtual

Returns

Option's maturity

Implements marian::Option.

OptionType marian::EuroOpt::getType

(

)

const

Returns

Option's type

double marian::EuroOpt::payoff

(

const double

spot

)

const

Pay-off:

• In case of Call

  

• In case of Put

  

Parameters

spot	Underlying price

Returns

Returns payoff

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The documentation for this class was generated from the following files:

• C:/Unix/home/OEM/fdm/src/financial/options/euroOpt.hpp
• C:/Unix/home/OEM/fdm/src/financial/options/euroOpt.cpp