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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file analyticpartialtimebarrieroptionengine.hpp
\brief Analytic engine for partial-time barrier options
*/
#ifndef quantlib_analytic_partial_time_barrier_option_engine_hpp
#define quantlib_analytic_partial_time_barrier_option_engine_hpp
#include <ql/instruments/partialtimebarrieroption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! analytic engine for partial-time %barrier %options.
/*! Formulas from Haug, Option Pricing Formulas.
It doesn't currently cover the case of knock-in
partial-time end options.
*/
class AnalyticPartialTimeBarrierOptionEngine
: public PartialTimeBarrierOption::engine {
public:
explicit AnalyticPartialTimeBarrierOptionEngine(
ext::shared_ptr<GeneralizedBlackScholesProcess> process);
void calculate() const override;
private:
ext::shared_ptr<GeneralizedBlackScholesProcess> process_;
Real calculate(PartialTimeBarrierOption::arguments& arguments,
const ext::shared_ptr<PlainVanillaPayoff>& payoff,
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process) const;
Real underlying() const;
Time residualTime() const;
Time coverEventTime() const;
Volatility volatility(Time t, Real strike) const;
Real M(Real a,Real b,Real rho) const;
Real d1(Real strike, Rate b)const;
Real d2(Real strike, Rate b)const;
Real e1(Real barrier, Real strike, Rate b) const;
Real e2(Real barrier, Real strike, Rate b) const;
Real e3(Real barrier, Real strike, Rate b) const;
Real e4(Real barrier, Real strike, Rate b) const;
Real f1(Real barrier, Real strike, Rate b) const;
Real f2(Real barrier, Real strike, Rate b) const;
Real rho() const;
Rate mu(Real strike, Rate b) const;
Real CoB2(Barrier::Type barrierType, Real barrier, Real strike, Rate r, Rate q) const;
Real CoB1(Real barrier, Real strike, Rate r, Rate q) const;
Real CA(Integer n, Real barrier, Real strike, Rate r, Rate q) const;
Real CIA(Integer n, Real barrier, Real strike, Rate r, Rate q) const;
Real g1(Real barrier, Real strike, Rate b)const;
Real g2(Real barrier, Real strike, Rate b)const;
Real g3(Real barrier, Real strike, Rate b)const;
Real g4(Real barrier, Real strike, Rate b)const;
Real HS(Real S, Real H, Real power)const;
};
}
#endif
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