Marian: marian::EuroOptFactory Class Reference

marian
EuroOptFactory

Class implements factory for European OptionClass is implementation of marian::AbstractPricerFactory. It is use to create objects that parametrize the FDM pricer used to value European Option. More...

#include <euroOptFactory.hpp>

Inheritance diagram for marian::EuroOptFactory:

Public Member Functions
	EuroOptFactory ()
	Default constructor.

	EuroOptFactory (EuroOpt option)
	Constructor. More...

std::vector< SmartPointer< BoundaryCondition > >	getBoundarySpotConditions (Market m, double low, double upp) override
	Returns vector of boundary conditions for European Option. More...

std::vector< double >	initialCondition (const std::vector< double > &grid)
	Returns vector initializing value of the option. More...

double	lowerSpotLmt () override
	Returns 0 as upper limit of the spot.

double	upperSpotLmt () override
	Returns $-\infty$ as upper limit of the spot.

double	getConcentrationPoint () override
	Returns strike as concentration point.

Public Member Functions inherited from marian::DCAbstractPricerFactory< EuroOptFactory >
virtual AbstractPricerFactory *	clone () const
	Virtual copy constructor.

Public Member Functions inherited from marian::AbstractPricerFactory
	AbstractPricerFactory ()
	Default constructor.

virtual	~AbstractPricerFactory ()
	destructor

Private Attributes
double	k_
	Strike of the option.

double	t_
	Maturity of the option.

OptionType	type_
	Type of option.

Detailed Description

Parametrization provided by the class is as follows:

Initial condition

$f(s) = max(i_{cp}(S-K))$

where $i_{cp}$ is equal to 1 if option type is CALL and -1 otherwise.

Boundary condition

For call option

lower boundary: Dirichlet condition $\lim_{S \to 0} C(S) = 0$
upper boundary: Dirichlet condition $\lim_{S \to \infty} f(x) = S-K$

For put option

lower boundary: Dirichlet condition $\lim_{S \to 0} C(S) = K-S$
upper boundary: Dirichlet condition $\lim_{S \to \infty} f(x) = 0$

Concentration parameter for non-uniform grid

Option's strike

Constructor & Destructor Documentation

marian::EuroOptFactory::EuroOptFactory ( EuroOpt option )

inline

Parameters

option European option for which factory will be constructed

Member Function Documentation

std::vector< SmartPointer< BoundaryCondition > > marian::EuroOptFactory::getBoundarySpotConditions	(	Market	m,
		double	low_boundary,
		double	upp_boundary
	)

overridevirtual

For call option

lower boundary: Dirichlet condition $\lim_{S \to 0} C(S) = 0$
upper boundary: Dirichlet condition $\lim_{S \to \infty} f(x) = S-K$

For put option

lower boundary: Dirichlet condition $\lim_{S \to 0} C(S) = K-S$
upper boundary: Dirichlet condition $\lim_{S \to \infty} f(x) = 0$

Implements marian::AbstractPricerFactory.

std::vector< double > marian::EuroOptFactory::initialCondition ( const std::vector< double > & grid )

virtual

$initial(s) = max(i_{cp}(S-K))$

where $i_{cp}$ is equal to 1 if option type is CALL and -1 otherwise.

Implements marian::AbstractPricerFactory.

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

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