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:

• Exotics.h
• Exotics.cpp

---