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Exotics Class Reference

#include <Exotics.h>

List of all members.

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


Constructor & Destructor Documentation

Exotics::Exotics exoticsType  type,
yieldCurve curve,
volsurface surface,
Real  spot,
Real  strike,
Real  Expiry,
LongNatural  nDates = 10,
Real  strike2 = -1.,
LongNatural  nPaths = 100000
 

Default Constructor.

Parameters:
type: type of exotics product
curve: pointer to the yield curve
surface: pointer to a vol surface for the underlying
spot: spot of the underlying
strike: strike1 of the option
expiry: maturity of the option
nPaths: number of paths to be generated by the MC pricer
nDates: number of dates to be generated
strike2: second strike for the option (for collared cliquet here)

Definition at line 3 of file Exotics.cpp.

References LongNatural, and Real.

Exotics::~Exotics void   ) 
 

Definition at line 17 of file Exotics.cpp.


Member Function Documentation

Real Exotics::getDelta  ) 
 

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().

Real Exotics::getPrice  ) 
 

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().

Real Exotics::getRho  ) 
 

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().

Real Exotics::getTheta  ) 
 

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().

Real Exotics::getVega  ) 
 

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().


Member Data Documentation

Real Exotics::_expiry [private]
 

Definition at line 64 of file Exotics.h.

Referenced by getPrice().

LongNatural Exotics::_nDates [private]
 

Definition at line 71 of file Exotics.h.

Referenced by getPrice().

LongNatural Exotics::_nPaths [private]
 

Definition at line 70 of file Exotics.h.

Referenced by getPrice().

Real Exotics::_spot [private]
 

Definition at line 65 of file Exotics.h.

Real Exotics::_strike [private]
 

Definition at line 66 of file Exotics.h.

Real Exotics::_strike2 [private]
 

Definition at line 67 of file Exotics.h.

Referenced by getPrice().

exoticsType Exotics::_type [private]
 

Definition at line 63 of file Exotics.h.

volsurface* Exotics::_volSurface [private]
 

Definition at line 68 of file Exotics.h.

Referenced by getPrice(), getTheta(), and getVega().

yieldCurve* Exotics::_yieldCurve [private]
 

Definition at line 69 of file Exotics.h.


The documentation for this class was generated from the following files:
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Generated on Thu Dec 22 23:12:39 2005 for terreneuve by doxygen 1.3.6