1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2 
3 /*
4  Copyright (C) 2012 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 analytictwoassetbarrierengine.hpp
21     \brief Analytic engine for barrier option on two assets
22 */
23 
24 #ifndef quantlib_analytic_two_asset_barrier_engine_hpp
25 #define quantlib_analytic_two_asset_barrier_engine_hpp
26 
27 #include <ql/experimental/exoticoptions/twoassetbarrieroption.hpp>
28 #include <ql/processes/blackscholesprocess.hpp>
29 
30 namespace QuantLib {
31 
32     //! Analytic engine for barrier option on two assets
33     /*! The formulas are taken from "Option pricing formulas",
34         E.G. Haug, McGraw-Hill,
35 
36         \ingroup barrierengines
37 
38         \test the correctness of the returned value is tested by
39               reproducing results available in literature.
40      */
41     class AnalyticTwoAssetBarrierEngine
42         : public TwoAssetBarrierOption::engine {
43       public:
44         AnalyticTwoAssetBarrierEngine(
45             const ext::shared_ptr<GeneralizedBlackScholesProcess>& process1,
46             const ext::shared_ptr<GeneralizedBlackScholesProcess>& process2,
47             const Handle<Quote>& rho);
48         void calculate() const;
49       private:
50         ext::shared_ptr<GeneralizedBlackScholesProcess> process1_;
51         ext::shared_ptr<GeneralizedBlackScholesProcess> process2_;
52         Handle<Quote> rho_;
53 
54         // helper methods
55         Real underlying1() const;
56         Real underlying2() const;
57 
58         Real strike() const;
59         Time residualTime() const;
60 
61         Volatility volatility1() const;
62         Volatility volatility2() const;
63 
64         Real barrier() const;
65         Real rho() const;
66 
67         Rate riskFreeRate() const;
68 
69         Rate dividendYield1() const;
70         Rate dividendYield2() const;
71 
72         Rate costOfCarry1() const;
73         Rate costOfCarry2() const;
74 
75         Real mu(Real b, Real vol) const;
76 
77         Real d1() const;
78         Real d2() const;
79         Real d3() const;
80         Real d4() const;
81 
82         Real e1() const;
83         Real e2() const;
84         Real e3() const;
85         Real e4() const;
86 
87         Real call() const;
88         Real put() const;
89 
90         Real A(Real eta, Real phi) const;
91         Real B(Real eta, Real phi) const;
92 
93         Real M(Real m_a, Real m_b,Real rho) const;
94     };
95 
96 }
97 
98 
99 #endif
100