AnalyticCompoundOptionEngine Class Reference

Pricing engine for compound options using analytical formulae. More...

#include <ql/experimental/compoundoption/analyticcompoundoptionengine.hpp>

Inheritance diagram for AnalyticCompoundOptionEngine:

Public Member Functions

 AnalyticCompoundOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process)
 
void calculate () const
 

Additional Inherited Members

- Protected Attributes inherited from GenericEngine< CompoundOption::arguments, CompoundOption::results >
CompoundOption::arguments arguments_
 
CompoundOption::results results_
 

Detailed Description

Pricing engine for compound options using analytical formulae.

The formulas are taken from "Foreign Exchange Risk", Uwe Wystup, Risk 2002, where closed form Greeks are available. (not available in Haug 2007). Value: Page 84, Greeks: Pages 94-95.

Tests:
the correctness of the returned value is tested by reproducing results available in literature.