1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2014 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis 5 6 This file is part of QuantLib, a free-software/open-source library 7 for financial quantitative analysts and developers - http://quantlib.org/ 8 9 QuantLib is free software: you can redistribute it and/or modify it 10 under the terms of the QuantLib license. You should have received a 11 copy of the license along with this program; if not, please email 12 <quantlib-dev@lists.sf.net>. The license is also available online at 13 <http://quantlib.org/license.shtml>. 14 15 This program is distributed in the hope that it will be useful, but WITHOUT 16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 17 FOR A PARTICULAR PURPOSE. See the license for more details. 18 */ 19 20 /*! \file analyticholderextensibleoptionengine.hpp 21 \brief Analytic engine for holder-extensible options 22 */ 23 24 #ifndef quantlib_analytic_holder_extensible_option_engine_hpp 25 #define quantlib_analytic_holder_extensible_option_engine_hpp 26 27 #include <ql/experimental/exoticoptions/holderextensibleoption.hpp> 28 #include <ql/processes/blackscholesprocess.hpp> 29 #include <ql/pricingengines/blackscholescalculator.hpp> 30 31 namespace QuantLib { 32 33 class AnalyticHolderExtensibleOptionEngine 34 : public HolderExtensibleOption::engine { 35 public: 36 explicit AnalyticHolderExtensibleOptionEngine( 37 const ext::shared_ptr<GeneralizedBlackScholesProcess>& process); 38 void calculate() const; 39 40 private: 41 ext::shared_ptr<GeneralizedBlackScholesProcess> process_; 42 Real strike() const; 43 Time firstExpiryTime() const; 44 Time secondExpiryTime() const; 45 Volatility volatility() const; 46 Rate riskFreeRate() const; 47 Rate dividendYield() const; 48 DiscountFactor dividendDiscount(Time t) const; 49 DiscountFactor riskFreeDiscount(Time t) const; 50 Real I1Call() const; 51 Real I2Call() const; 52 Real I1Put() const; 53 Real I2Put() const; 54 BlackScholesCalculator bsCalculator(Real spot, Option::Type optionType) const; 55 Real M2(Real a, Real b, Real c, Real d, Real rho) const; 56 Real N2(Real a, Real b) const; 57 Real y1(Option::Type) const; 58 Real y2(Option::Type) const; 59 Real z1() const; 60 Real z2() const; 61 }; 62 63 } 64 65 66 #endif 67