#include <Exotics.h>
Public Member Functions | |
Exotics (exoticsType type, yieldCurve *curve, volsurface *surface, Real spot, Real strike, Real Expiry, LongNatural nDates=10, Real strike2=-1., LongNatural nPaths=100000) | |
Default Constructor. | |
~Exotics (void) | |
Real | getPrice () |
return the price of the option by MC | |
Real | getRho () |
return the sensitivity to interest rate of the option by MC | |
Real | getTheta () |
return the sensitivity to time of the option by MC (+defaultAdvDays) | |
Real | getVega () |
return the sensitivity to volatility of the option by MC | |
Real | getDelta () |
return the sensitivity to the spot price of the option by MC | |
Private Attributes | |
exoticsType | _type |
Real | _expiry |
Real | _spot |
Real | _strike |
Real | _strike2 |
volsurface * | _volSurface |
yieldCurve * | _yieldCurve |
LongNatural | _nPaths |
LongNatural | _nDates |
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Default Constructor.
Definition at line 3 of file Exotics.cpp. References LongNatural, and Real. |
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Definition at line 17 of file Exotics.cpp. |
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return the sensitivity to the spot price of the option by MC
Definition at line 46 of file Exotics.cpp. References getPrice(), and Real. Referenced by inputExoticOptionOnSingleAsset(). |
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return the price of the option by MC
Definition at line 21 of file Exotics.cpp. References _expiry, _nDates, _nPaths, _strike2, _volSurface, AsianCall, AsianPut, BarrierCall, BarrierPut, CappedCliquet, CollaredCliquet, FlooredCliquet, mainmc(), Real, RevLookbackCall, and RevLookbackPut. Referenced by getDelta(), getRho(), getTheta(), getVega(), and inputExoticOptionOnSingleAsset(). |
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return the sensitivity to interest rate of the option by MC
Definition at line 55 of file Exotics.cpp. References getPrice(), Real, and yieldCurve::shiftZCBRateCurve(). Referenced by inputExoticOptionOnSingleAsset(). |
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return the sensitivity to time of the option by MC (+defaultAdvDays)
Definition at line 64 of file Exotics.cpp. References _volSurface, volsurface::forwardvolsurface(), yieldCurve::forwardZCBCurve(), getPrice(), Integer, Date::plusDays(), Real, and Date::setDateToToday(). Referenced by inputExoticOptionOnSingleAsset(). |
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return the sensitivity to volatility of the option by MC
Definition at line 80 of file Exotics.cpp. References _volSurface, getPrice(), Real, and volsurface::shiftedvolsurface(). Referenced by inputExoticOptionOnSingleAsset(). |
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Definition at line 64 of file Exotics.h. Referenced by getPrice(). |
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Definition at line 71 of file Exotics.h. Referenced by getPrice(). |
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Definition at line 70 of file Exotics.h. Referenced by getPrice(). |
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Definition at line 67 of file Exotics.h. Referenced by getPrice(). |
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Definition at line 68 of file Exotics.h. Referenced by getPrice(), getTheta(), and getVega(). |
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