rainbowoption.h File Reference

#include "../common/types.h"
#include "../common/matrix.h"
#include "../common/date.h"
#include "..\PartB\yieldCurve.h"
#include "..\PartE\volsurface.h"
#include <valarray>
#include "../PartA/MonteCarlo1/MersenneTwister.h"
#include "../PartA/MonteCarlo1/GaussianProcess.h"
#include "../PartA/MonteCarlo1/PayOff.h"
#include "../PartA/MonteCarlo1/Random.h"
#include "../PartA/MonteCarlo1/Drift.h"
#include "../PartA/MonteCarlo1/MCEngine.h"
#include "../PartA/BlackScholes/BlackScholes.h"

Go to the source code of this file.

Classes
class	RainbowOption
Defines
#define	RO_DEFAULT_STRIKE   100
#define	RO_DEFAULT_VOL   0.15
#define	RO_DEFAULT_RATE   0.02
#define	RO_DEFAULT_MATURITY   1
#define	RO_DEFAULT_NB_ASSETS   2
#define	RO_DEFAULT_MULTIPLIER   1
#define	RO_NPATHS   100000
#define	RO_SEED   100000000
#define	EPSILON   0.00000001
#define	GREEKAPPROX   0.01
Enumerations
enum	priceType { MonteCarlo, ClosedForm }
enum	rainbowType {   SpreadOptionMax, AssetsBasketMax, BestOf2AssetsCash, WorstOf2AssetsCash,   BetterOf2Assets, WorseOf2Assets, Max2AssetsCall, Min2AssetsCall,   Max2AssetsPut, Min2AssetsPut }

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Define Documentation

#define EPSILON   0.00000001

Definition at line 32 of file rainbowoption.h. Referenced by RainbowOption::PriceByClosedForm_BetterOf2(), RainbowOption::PriceByClosedForm_WorseOf2(), RainbowOption::PriceByMc_BetterOf2Assets(), and RainbowOption::PriceByMc_WorseOf2Assets().

#define GREEKAPPROX   0.01

Definition at line 33 of file rainbowoption.h. Referenced by RainbowOption::getCorrelRisk(), RainbowOption::getPartialDelta(), RainbowOption::getPartialGamma(), RainbowOption::getPartialVega(), and RainbowOption::getRho().

#define RO_DEFAULT_MATURITY   1

Definition at line 25 of file rainbowoption.h. Referenced by RainbowOption::RainbowOption().

#define RO_DEFAULT_MULTIPLIER   1

Definition at line 27 of file rainbowoption.h.

#define RO_DEFAULT_NB_ASSETS   2

Definition at line 26 of file rainbowoption.h. Referenced by RainbowOption::RainbowOption().

#define RO_DEFAULT_RATE   0.02

Definition at line 24 of file rainbowoption.h. Referenced by RainbowOption::RainbowOption().

#define RO_DEFAULT_STRIKE   100

Definition at line 22 of file rainbowoption.h. Referenced by RainbowOption::RainbowOption().

#define RO_DEFAULT_VOL   0.15

Definition at line 23 of file rainbowoption.h. Referenced by RainbowOption::RainbowOption().

#define RO_NPATHS   100000

Definition at line 29 of file rainbowoption.h.

#define RO_SEED   100000000

Definition at line 30 of file rainbowoption.h. Referenced by RainbowOption::instanciateMCVariables(), and RainbowOption::RainbowOption().

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Enumeration Type Documentation

enum priceType

Author: Yann to simplify, only non path dependant Rainbows, and no quanto Enumeration values: MonteCarlo  ClosedForm  Definition at line 41 of file rainbowoption.h. Referenced by choosePricingType(), and inputRainbowOption().

enum rainbowType

Enumeration values: SpreadOptionMax  AssetsBasketMax  BestOf2AssetsCash  WorstOf2AssetsCash  BetterOf2Assets  WorseOf2Assets  Max2AssetsCall  Min2AssetsCall  Max2AssetsPut  Min2AssetsPut  Definition at line 46 of file rainbowoption.h. Referenced by chooseRainbowType(), RainbowOption::getRainbowType(), and inputRainbowOption().

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