#include <rainbowoption.h>
Public Member Functions | |
RainbowOption (void) | |
The default constructor will instantiate a rainbow such with : - a non correlated basket - of RO_DEFAULT_NB_ASSETS assets, - equally weighted, and - with RO_DEFAULT_MULTIPLIER. | |
RainbowOption (rainbowType type, Date startDate, Real expiry, Real Strike, yieldCurve yc, valarray< volsurface > vols, valarray< Real > spots=valarray< Real >(RO_DEFAULT_STRIKE, RO_DEFAULT_NB_ASSETS), Real Multiplier=RO_DEFAULT_MULTIPLIER, Matrix Correl=IdentityMatrix(RO_DEFAULT_NB_ASSETS), valarray< Real > weights=valarray< Real >(1/(Real) RO_DEFAULT_NB_ASSETS, RO_DEFAULT_NB_ASSETS), bool outputMsgs=false) | |
Full general constructor with n assets. | |
RainbowOption (rainbowType type, Date start, Real exp, Real Strike, yieldCurve yc, valarray< volsurface > vols, Real Spot1, Real Spot2, Real Mult=RO_DEFAULT_MULTIPLIER, Real Correl12=0, Real weight1=0.5, Real weight2=0.5, bool outputMsgs=false) | |
For 2 assets. | |
~RainbowOption (void) | |
Real | getPrice (priceType priceMethod=ClosedForm, LongNatural nPaths=RO_NPATHS) |
Real | getPartialDelta (Natural security, priceType priceMethod=ClosedForm) |
by convention, security 1 is the 0th spot in the array, so user "logical" | |
Real | getPartialGamma (Natural security, priceType priceMethod=ClosedForm) |
by convention, security 1 is the 0th spot in the array, so user "logical" | |
Real | getPartialVega (Natural security, priceType priceMethod=ClosedForm) |
by convention, security 1 is the 0th spot in the array, so user "logical" | |
Real | getDelta (priceType priceMethod=ClosedForm) |
Real | getGamma (priceType priceMethod=ClosedForm) |
Real | getVega (priceType priceMethod=ClosedForm) |
Real | getCorrelRisk (priceType priceMethod=ClosedForm) |
Correl Risk. | |
Real | getRho (priceType priceMethod=ClosedForm) |
Rho risk. | |
Real | getTheta (priceType priceMethod=ClosedForm) |
Theata risk. | |
rainbowType | getRainbowType () |
void | setRainbowType (rainbowType newType) |
Private Member Functions | |
Real | PriceByMc_2SpreadOptionMax (LongNatural nPaths=RO_NPATHS) |
Real | PriceByMc_2AssetsBasketMax (LongNatural nPaths=RO_NPATHS) |
Real | PriceByMc_BestOf2AssetsCash (LongNatural nPaths=RO_NPATHS) |
Real | PriceByMc_WorstOf2AssetsCash (LongNatural nPaths=RO_NPATHS) |
Real | PriceByMc_BetterOf2Assets (LongNatural nPaths=RO_NPATHS) |
Real | PriceByMc_WorseOf2Assets (LongNatural nPaths=RO_NPATHS) |
Real | PriceByMc_Max2AssetsCall (LongNatural nPaths=RO_NPATHS) |
Real | PriceByMc_Min2AssetsCall (LongNatural nPaths=RO_NPATHS) |
Real | PriceByMc_Max2AssetsPut (LongNatural nPaths=RO_NPATHS) |
Real | PriceByMc_Min2AssetsPut (LongNatural nPaths=RO_NPATHS) |
Real | PriceByClosedForm_BestOf2_plusCash () |
Real | PriceByClosedForm_BetterOf2 () |
Real | PriceByClosedForm_WorseOf2 () |
Real | PriceByClosedForm_MaxOf2_call () |
Real | PriceByClosedForm_MinOf2_call () |
Real | PriceByClosedForm_MaxOf2_put () |
Real | PriceByClosedForm_MinOf2_put () |
void | reassignVolsAtThemoney () |
void | reassignVolsAtThestrike () |
void | instanciateMCVariables () |
void | compute_sigmaA () |
void | compute_rho1 () |
void | compute_rho2 () |
void | compute_d1 () |
void | compute_d2 () |
void | compute_d3 () |
void | compute_d4 () |
void | compute_A () |
void | compute_B () |
void | compute_C () |
void | compute_ClosedFormsParameters () |
Private Attributes | |
bool | _outputMsgs |
Date | _startDate |
Real | _expiryInYears |
Natural | _NumberOfAssets |
Real | _Strike |
valarray< Real > | _spots |
Real | _Multiplier |
valarray< Real > | _weights |
Matrix | _CorrelationMatrix |
valarray< Real > | _volatilities |
valarray< volsurface > | _volatilitiesSurfaces |
yieldCurve | _yc |
rainbowType | _type |
PayOff | _thePayOff |
Real | _DFTomaturity |
valarray< Drift > | _Drifts |
Random * | _pRandom |
MCEngine | _MCEngine |
Real | _gaussianSample |
valarray< Real > | _TerminalPoints |
valarray< GaussianProcess > | _pHazardRateProcesses |
LongNatural | _seed |
Real | sigmaA |
Real | rho1 |
Real | rho2 |
Real | d1 |
Real | d2 |
Real | d3 |
Real | d4 |
Real | A |
Real | B |
Real | C |
bool | haveClosedFormVariablesBeenComputed |
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The default constructor will instantiate a rainbow such with : - a non correlated basket - of RO_DEFAULT_NB_ASSETS assets, - equally weighted, and - with RO_DEFAULT_MULTIPLIER.
Definition at line 3 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _expiryInYears, _Multiplier, _NumberOfAssets, _outputMsgs, _pRandom, _seed, _spots, _startDate, _Strike, _volatilities, _volatilitiesSurfaces, _weights, BestOf2AssetsCash, yieldCurve::discountFactor(), haveClosedFormVariablesBeenComputed, IdentityMatrix(), LongNatural, Real, RO_DEFAULT_MATURITY, RO_DEFAULT_NB_ASSETS, RO_DEFAULT_RATE, RO_DEFAULT_STRIKE, RO_DEFAULT_VOL, RO_SEED, and Date::setDateToToday(). |
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Full general constructor with n assets.
Definition at line 29 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _expiryInYears, _NumberOfAssets, _pRandom, _seed, _Strike, _thePayOff, yieldCurve::discountFactor(), Matrix::GetRows(), haveClosedFormVariablesBeenComputed, LongNatural, Real, reassignVolsAtThestrike(), RO_SEED, and PayOff::SetStrike(). |
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For 2 assets.
Definition at line 52 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _expiryInYears, _NumberOfAssets, _pRandom, _seed, _spots, _volatilities, _weights, yieldCurve::discountFactor(), haveClosedFormVariablesBeenComputed, IdentityMatrix(), LongNatural, Real, reassignVolsAtThestrike(), RO_SEED, and Matrix::SetValue(). |
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Definition at line 679 of file rainbowoption.cpp. |
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Definition at line 541 of file rainbowoption.cpp. References _spots, A, CumulativeBivariateNormal(), CumulativeNormal(), d3, Real, and rho1. Referenced by compute_ClosedFormsParameters(). |
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Definition at line 547 of file rainbowoption.cpp. References _spots, B, CumulativeBivariateNormal(), CumulativeNormal(), d4, Real, and rho2. Referenced by compute_ClosedFormsParameters(). |
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Definition at line 553 of file rainbowoption.cpp. References _CorrelationMatrix, _expiryInYears, _Strike, _volatilities, a, C, CumulativeBivariateNormal(), Real, and yieldCurve::spotRate(). Referenced by compute_ClosedFormsParameters(). |
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Definition at line 564 of file rainbowoption.cpp. References compute_A(), compute_B(), compute_C(), compute_d1(), compute_d2(), compute_d3(), compute_d4(), compute_rho1(), compute_rho2(), and compute_sigmaA(). Referenced by PriceByClosedForm_BestOf2_plusCash(), PriceByClosedForm_BetterOf2(), PriceByClosedForm_MaxOf2_call(), and PriceByClosedForm_MaxOf2_put(). |
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Definition at line 507 of file rainbowoption.cpp. References _expiryInYears, _spots, _Strike, _volatilities, Real, and yieldCurve::spotRate(). Referenced by compute_ClosedFormsParameters(). |
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Definition at line 516 of file rainbowoption.cpp. References _expiryInYears, _spots, _Strike, _volatilities, Real, and yieldCurve::spotRate(). Referenced by compute_ClosedFormsParameters(). |
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Definition at line 525 of file rainbowoption.cpp. References _expiryInYears, _spots, d3, Real, and sigmaA. Referenced by compute_ClosedFormsParameters(). |
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Definition at line 533 of file rainbowoption.cpp. References _expiryInYears, _spots, d4, Real, and sigmaA. Referenced by compute_ClosedFormsParameters(). |
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Definition at line 491 of file rainbowoption.cpp. References _CorrelationMatrix, _volatilities, Real, rho1, and sigmaA. Referenced by compute_ClosedFormsParameters(). |
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Definition at line 499 of file rainbowoption.cpp. References _CorrelationMatrix, _volatilities, Real, rho2, and sigmaA. Referenced by compute_ClosedFormsParameters(). |
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Definition at line 483 of file rainbowoption.cpp. References _CorrelationMatrix, _volatilities, Real, and sigmaA. Referenced by compute_ClosedFormsParameters(). |
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Correl Risk.
Definition at line 264 of file rainbowoption.cpp. References _CorrelationMatrix, _outputMsgs, getPrice(), Matrix::GetRows(), GREEKAPPROX, haveClosedFormVariablesBeenComputed, Natural, Real, and Matrix::SetValue(). Referenced by inputRainbowOption(), and mainrainbowoptions(). |
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Definition at line 240 of file rainbowoption.cpp. References _NumberOfAssets, getPartialDelta(), Natural, Real, Matrix::SetValue(), and Matrix::SumColumn(). |
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Definition at line 248 of file rainbowoption.cpp. References _NumberOfAssets, getPartialGamma(), Natural, Real, Matrix::SetValue(), and Matrix::SumColumn(). |
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by convention, security 1 is the 0th spot in the array, so user "logical"
Definition at line 177 of file rainbowoption.cpp. References _NumberOfAssets, _outputMsgs, _spots, getPrice(), GREEKAPPROX, haveClosedFormVariablesBeenComputed, Natural, and Real. Referenced by getDelta(), getPartialGamma(), inputRainbowOption(), and mainrainbowoptions(). |
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by convention, security 1 is the 0th spot in the array, so user "logical"
Definition at line 198 of file rainbowoption.cpp. References _NumberOfAssets, _outputMsgs, _spots, getPartialDelta(), GREEKAPPROX, haveClosedFormVariablesBeenComputed, Natural, and Real. Referenced by getGamma(), inputRainbowOption(), and mainrainbowoptions(). |
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by convention, security 1 is the 0th spot in the array, so user "logical"
Definition at line 219 of file rainbowoption.cpp. References _NumberOfAssets, _outputMsgs, _volatilities, getPrice(), GREEKAPPROX, haveClosedFormVariablesBeenComputed, Natural, and Real. Referenced by getVega(), inputRainbowOption(), and mainrainbowoptions(). |
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Definition at line 116 of file rainbowoption.h. References rainbowType. |
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Rho risk.
Definition at line 310 of file rainbowoption.cpp. References _outputMsgs, getPrice(), GREEKAPPROX, haveClosedFormVariablesBeenComputed, Real, and yieldCurve::shiftZCBRateCurve(). Referenced by inputRainbowOption(), and mainrainbowoptions(). |
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Theata risk.
Definition at line 331 of file rainbowoption.cpp. References _expiryInYears, _outputMsgs, getPrice(), haveClosedFormVariablesBeenComputed, and Real. |
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Definition at line 256 of file rainbowoption.cpp. References _NumberOfAssets, getPartialVega(), Natural, Real, Matrix::SetValue(), and Matrix::SumColumn(). |
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Definition at line 354 of file rainbowoption.cpp. References _Drifts, _expiryInYears, _gaussianSample, _NumberOfAssets, _pHazardRateProcesses, _pRandom, _spots, _startDate, _Strike, _TerminalPoints, _thePayOff, _volatilities, Natural, RO_SEED, Random::SetSeed(), PayOff::SetStrike(), and yieldCurve::spotRate(). Referenced by PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_BestOf2AssetsCash(), PriceByMc_BetterOf2Assets(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), PriceByMc_WorseOf2Assets(), and PriceByMc_WorstOf2AssetsCash(). |
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Definition at line 577 of file rainbowoption.cpp. References _outputMsgs, A, B, C, compute_ClosedFormsParameters(), haveClosedFormVariablesBeenComputed, and Real. Referenced by getPrice(). |
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Definition at line 587 of file rainbowoption.cpp. References _outputMsgs, _Strike, A, B, C, compute_ClosedFormsParameters(), EPSILON, haveClosedFormVariablesBeenComputed, and Real. Referenced by getPrice(), PriceByClosedForm_MaxOf2_put(), and PriceByClosedForm_WorseOf2(). |
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Definition at line 620 of file rainbowoption.cpp. References _expiryInYears, _outputMsgs, _Strike, A, B, C, compute_ClosedFormsParameters(), haveClosedFormVariablesBeenComputed, Real, and yieldCurve::spotRate(). Referenced by getPrice(), PriceByClosedForm_MaxOf2_put(), and PriceByClosedForm_MinOf2_call(). |
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Definition at line 651 of file rainbowoption.cpp. References _expiryInYears, _outputMsgs, _Strike, compute_ClosedFormsParameters(), haveClosedFormVariablesBeenComputed, PriceByClosedForm_BetterOf2(), PriceByClosedForm_MaxOf2_call(), Real, and yieldCurve::spotRate(). Referenced by getPrice(), and PriceByClosedForm_MinOf2_put(). |
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Definition at line 632 of file rainbowoption.cpp. References _expiryInYears, _outputMsgs, _spots, _Strike, _volatilities, Call, BlackScholes::getPrice(), PriceByClosedForm_MaxOf2_call(), Real, and yieldCurve::spotRate(). Referenced by getPrice(). |
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Definition at line 662 of file rainbowoption.cpp. References _expiryInYears, _outputMsgs, _spots, _Strike, _volatilities, BlackScholes::getPrice(), PriceByClosedForm_MaxOf2_put(), Put, Real, and yieldCurve::spotRate(). Referenced by getPrice(). |
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Definition at line 601 of file rainbowoption.cpp. References _expiryInYears, _outputMsgs, _spots, _volatilities, Call, EPSILON, BlackScholes::getPrice(), PriceByClosedForm_BetterOf2(), Real, and yieldCurve::spotRate(). Referenced by getPrice(). |
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Definition at line 395 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _gaussianSample, _MCEngine, _Multiplier, _pHazardRateProcesses, _pRandom, _TerminalPoints, _thePayOff, _weights, instanciateMCVariables(), LongNatural, MCEngine::MCResult(), Real, and MCEngine::RunEngineRainbow2AssetsBasketMax(). Referenced by getPrice(). |
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Definition at line 383 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _gaussianSample, _MCEngine, _Multiplier, _pHazardRateProcesses, _pRandom, _TerminalPoints, _thePayOff, _weights, instanciateMCVariables(), LongNatural, MCEngine::MCResult(), Real, and MCEngine::RunEngineRainbow2SpreadOptionMax(). Referenced by getPrice(). |
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Definition at line 404 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _gaussianSample, _MCEngine, _pHazardRateProcesses, _pRandom, _TerminalPoints, _thePayOff, _weights, instanciateMCVariables(), LongNatural, MCEngine::MCResult(), Real, and MCEngine::RunEngineRainbowBestOf2AssetsCash(). Referenced by getPrice(). |
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Definition at line 422 of file rainbowoption.cpp. References _Strike, EPSILON, instanciateMCVariables(), LongNatural, PriceByMc_Max2AssetsCall(), and Real. Referenced by getPrice(). |
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Definition at line 447 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _gaussianSample, _MCEngine, _Multiplier, _pHazardRateProcesses, _pRandom, _TerminalPoints, _thePayOff, _weights, instanciateMCVariables(), LongNatural, MCEngine::MCResult(), Real, and MCEngine::RunEngineRainbowMax2AssetsCall(). Referenced by getPrice(), and PriceByMc_BetterOf2Assets(). |
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Definition at line 465 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _gaussianSample, _MCEngine, _Multiplier, _pHazardRateProcesses, _pRandom, _TerminalPoints, _thePayOff, _weights, instanciateMCVariables(), LongNatural, MCEngine::MCResult(), Real, and MCEngine::RunEngineRainbowMax2AssetsPut(). Referenced by getPrice(). |
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Definition at line 456 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _gaussianSample, _MCEngine, _Multiplier, _pHazardRateProcesses, _pRandom, _TerminalPoints, _thePayOff, _weights, instanciateMCVariables(), LongNatural, MCEngine::MCResult(), Real, and MCEngine::RunEngineRainbowMin2AssetsCall(). Referenced by getPrice(), and PriceByMc_WorseOf2Assets(). |
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Definition at line 474 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _gaussianSample, _MCEngine, _Multiplier, _pHazardRateProcesses, _pRandom, _TerminalPoints, _thePayOff, _weights, instanciateMCVariables(), LongNatural, MCEngine::MCResult(), Real, and MCEngine::RunEngineRainbowMin2AssetsPut(). Referenced by getPrice(). |
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Definition at line 435 of file rainbowoption.cpp. References _Strike, EPSILON, instanciateMCVariables(), LongNatural, PriceByMc_Min2AssetsCall(), and Real. Referenced by getPrice(). |
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Definition at line 413 of file rainbowoption.cpp. References _CorrelationMatrix, _DFTomaturity, _gaussianSample, _MCEngine, _pHazardRateProcesses, _pRandom, _TerminalPoints, _thePayOff, _weights, instanciateMCVariables(), LongNatural, MCEngine::MCResult(), Real, and MCEngine::RunEngineRainbowWorstOf2AssetsCash(). Referenced by getPrice(). |
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Definition at line 378 of file rainbowoption.cpp. References _expiryInYears, _NumberOfAssets, _spots, _startDate, _volatilities, _volatilitiesSurfaces, Natural, and Date::plusDays(). |
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Definition at line 372 of file rainbowoption.cpp. References _expiryInYears, _NumberOfAssets, _startDate, _Strike, _volatilities, _volatilitiesSurfaces, Natural, and Date::plusDays(). Referenced by RainbowOption(). |
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Definition at line 117 of file rainbowoption.h. Referenced by mainrainbowoptions(). |
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Definition at line 158 of file rainbowoption.h. Referenced by compute_C(), compute_rho1(), compute_rho2(), compute_sigmaA(), getCorrelRisk(), PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_BestOf2AssetsCash(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), PriceByMc_WorstOf2AssetsCash(), and RainbowOption(). |
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Definition at line 171 of file rainbowoption.h. Referenced by PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_BestOf2AssetsCash(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), PriceByMc_WorstOf2AssetsCash(), and RainbowOption(). |
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Definition at line 172 of file rainbowoption.h. Referenced by instanciateMCVariables(). |
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Definition at line 152 of file rainbowoption.h. Referenced by compute_C(), compute_d1(), compute_d2(), compute_d3(), compute_d4(), getTheta(), instanciateMCVariables(), PriceByClosedForm_MaxOf2_call(), PriceByClosedForm_MaxOf2_put(), PriceByClosedForm_MinOf2_call(), PriceByClosedForm_MinOf2_put(), PriceByClosedForm_WorseOf2(), RainbowOption(), reassignVolsAtThemoney(), and reassignVolsAtThestrike(). |
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Definition at line 175 of file rainbowoption.h. Referenced by instanciateMCVariables(), PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_BestOf2AssetsCash(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), and PriceByMc_WorstOf2AssetsCash(). |
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Definition at line 174 of file rainbowoption.h. Referenced by PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_BestOf2AssetsCash(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), and PriceByMc_WorstOf2AssetsCash(). |
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Definition at line 156 of file rainbowoption.h. Referenced by PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), and RainbowOption(). |
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Definition at line 153 of file rainbowoption.h. Referenced by getDelta(), getGamma(), getPartialDelta(), getPartialGamma(), getPartialVega(), getVega(), instanciateMCVariables(), RainbowOption(), reassignVolsAtThemoney(), and reassignVolsAtThestrike(). |
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Definition at line 148 of file rainbowoption.h. Referenced by getCorrelRisk(), getPartialDelta(), getPartialGamma(), getPartialVega(), getPrice(), getRho(), getTheta(), PriceByClosedForm_BestOf2_plusCash(), PriceByClosedForm_BetterOf2(), PriceByClosedForm_MaxOf2_call(), PriceByClosedForm_MaxOf2_put(), PriceByClosedForm_MinOf2_call(), PriceByClosedForm_MinOf2_put(), PriceByClosedForm_WorseOf2(), and RainbowOption(). |
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Definition at line 177 of file rainbowoption.h. Referenced by instanciateMCVariables(), PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_BestOf2AssetsCash(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), and PriceByMc_WorstOf2AssetsCash(). |
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Definition at line 173 of file rainbowoption.h. Referenced by instanciateMCVariables(), PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_BestOf2AssetsCash(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), PriceByMc_WorstOf2AssetsCash(), and RainbowOption(). |
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Definition at line 180 of file rainbowoption.h. Referenced by RainbowOption(). |
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Definition at line 155 of file rainbowoption.h. Referenced by compute_A(), compute_B(), compute_d1(), compute_d2(), compute_d3(), compute_d4(), getPartialDelta(), getPartialGamma(), instanciateMCVariables(), PriceByClosedForm_MinOf2_call(), PriceByClosedForm_MinOf2_put(), PriceByClosedForm_WorseOf2(), RainbowOption(), and reassignVolsAtThemoney(). |
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Definition at line 151 of file rainbowoption.h. Referenced by instanciateMCVariables(), RainbowOption(), reassignVolsAtThemoney(), and reassignVolsAtThestrike(). |
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Definition at line 154 of file rainbowoption.h. Referenced by compute_C(), compute_d1(), compute_d2(), instanciateMCVariables(), PriceByClosedForm_BetterOf2(), PriceByClosedForm_MaxOf2_call(), PriceByClosedForm_MaxOf2_put(), PriceByClosedForm_MinOf2_call(), PriceByClosedForm_MinOf2_put(), PriceByMc_BetterOf2Assets(), PriceByMc_WorseOf2Assets(), RainbowOption(), and reassignVolsAtThestrike(). |
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Definition at line 176 of file rainbowoption.h. Referenced by instanciateMCVariables(), PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_BestOf2AssetsCash(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), and PriceByMc_WorstOf2AssetsCash(). |
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Definition at line 170 of file rainbowoption.h. Referenced by instanciateMCVariables(), PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_BestOf2AssetsCash(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), PriceByMc_WorstOf2AssetsCash(), and RainbowOption(). |
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Definition at line 163 of file rainbowoption.h. |
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Definition at line 159 of file rainbowoption.h. Referenced by compute_C(), compute_d1(), compute_d2(), compute_rho1(), compute_rho2(), compute_sigmaA(), getPartialVega(), instanciateMCVariables(), PriceByClosedForm_MinOf2_call(), PriceByClosedForm_MinOf2_put(), PriceByClosedForm_WorseOf2(), RainbowOption(), reassignVolsAtThemoney(), and reassignVolsAtThestrike(). |
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Definition at line 160 of file rainbowoption.h. Referenced by RainbowOption(), reassignVolsAtThemoney(), and reassignVolsAtThestrike(). |
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Definition at line 157 of file rainbowoption.h. Referenced by PriceByMc_2AssetsBasketMax(), PriceByMc_2SpreadOptionMax(), PriceByMc_BestOf2AssetsCash(), PriceByMc_Max2AssetsCall(), PriceByMc_Max2AssetsPut(), PriceByMc_Min2AssetsCall(), PriceByMc_Min2AssetsPut(), PriceByMc_WorstOf2AssetsCash(), and RainbowOption(). |
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Definition at line 161 of file rainbowoption.h. |
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Definition at line 197 of file rainbowoption.h. Referenced by compute_A(), PriceByClosedForm_BestOf2_plusCash(), PriceByClosedForm_BetterOf2(), and PriceByClosedForm_MaxOf2_call(). |
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Definition at line 199 of file rainbowoption.h. Referenced by compute_B(), PriceByClosedForm_BestOf2_plusCash(), PriceByClosedForm_BetterOf2(), and PriceByClosedForm_MaxOf2_call(). |
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Definition at line 201 of file rainbowoption.h. Referenced by compute_C(), PriceByClosedForm_BestOf2_plusCash(), PriceByClosedForm_BetterOf2(), and PriceByClosedForm_MaxOf2_call(). |
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Definition at line 189 of file rainbowoption.h. |
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Definition at line 191 of file rainbowoption.h. |
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Definition at line 193 of file rainbowoption.h. Referenced by compute_A(), and compute_d3(). |
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Definition at line 195 of file rainbowoption.h. Referenced by compute_B(), and compute_d4(). |
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Definition at line 204 of file rainbowoption.h. Referenced by getCorrelRisk(), getPartialDelta(), getPartialGamma(), getPartialVega(), getRho(), getTheta(), PriceByClosedForm_BestOf2_plusCash(), PriceByClosedForm_BetterOf2(), PriceByClosedForm_MaxOf2_call(), PriceByClosedForm_MaxOf2_put(), and RainbowOption(). |
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Definition at line 185 of file rainbowoption.h. Referenced by compute_A(), and compute_rho1(). |
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Definition at line 187 of file rainbowoption.h. Referenced by compute_B(), and compute_rho2(). |
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Definition at line 183 of file rainbowoption.h. Referenced by compute_d3(), compute_d4(), compute_rho1(), compute_rho2(), and compute_sigmaA(). |