productsCreation.h File Reference

#include "../PartB/yieldCurve.h"
#include "../PartE/volsurface.h"
#include "../PartA/BlackScholes/BlackScholes.h"
#include "../PartA/BlackScholes/OptionStrategy.h"
#include "../PartL/Exotics.h"
#include "../PartH/bond.h"
#include "../PartD/VanillaSwap.h"
#include "../PartI/rainbowoption.h"
#include "../PartJ/convertiblebond.h"
#include "./importData.h"
#include <minmax.h>

Go to the source code of this file.

Functions
bool	productsCreationMenu (marketData data)
	Menu for this category.
BlackScholes *	inputBSOption (marketData data)
	User interface to input and store a BS option.
string	outputCallPut (char c)
	Transform the input c/C/p/P into "Call" or "Put".
OptionStrategy	inputOptionStrategy (marketData data)
	User interface to input and store an option strategy and options in it.
void	inputSpecificOptionStrategy (marketData data, OptionStrategy &strategy)
	add something else to the strategy than a Call/Put
void	inputButterflySpread (marketData data, OptionStrategy &strategy, bool useMarketData)
	add a butterfly spread to the strategy
void	inputCallSpread (marketData data, OptionStrategy &strategy, bool useMarketData)
	add a call spread to the strategy
void	inputPutSpread (marketData data, OptionStrategy &strategy, bool useMarketData)
	add a put spread to the strategy
void	inputRatioCallSpread (marketData data, OptionStrategy &strategy, bool useMarketData)
	add a ratio call spread to the strategy
void	inputStraddle (marketData data, OptionStrategy &strategy, bool useMarketData)
	add a Straddle to the strategy
void	inputStrangle (marketData data, OptionStrategy &strategy, bool useMarketData)
	add a strangle to the strategy
Exotics *	inputExoticOptionOnSingleAsset (marketData &data)
	User interface to input and store an Exotic Option with a single underlying (MC Price).
exoticsType	choiceToType (Natural choice)
	converts the 1 to 9 choice in a Exotics Type
bond *	inputBond (marketData &data)
	User interface to input a bond.
convertiblebond *	inputConvertibleBond (marketData &data)
	User interface to input a convertible bond.
VanillaSwap *	inputVanillaSwap (marketData data)
	User interface to input an interest rate vanilla swap.
priceType	choosePricingType (Natural choice)
	For Rainbow options, converts the input into a priceType.
rainbowType	chooseRainbowType (Natural choice)
	For Rainbow options, converts the input into a rainbowType.
RainbowOption *	inputRainbowOption (marketData data)
	To input a Rainbow Option.

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Function Documentation

exoticsType choiceToType (  Natural  choice  )

converts the 1 to 9 choice in a Exotics Type Definition at line 832 of file productsCreation.cpp. References AsianCall, AsianPut, BarrierCall, BarrierPut, CappedCliquet, CollaredCliquet, exoticsType, FlooredCliquet, Natural, RevLookbackCall, and RevLookbackPut. Referenced by inputExoticOptionOnSingleAsset().

priceType choosePricingType (  Natural  choice  )

For Rainbow options, converts the input into a priceType.

rainbowType chooseRainbowType (  Natural  choice  )

For Rainbow options, converts the input into a rainbowType.

bond* inputBond (  marketData &  data  )

User interface to input a bond. Definition at line 639 of file productsCreation.cpp. References ACT_360, ACT_365, Annual, Bimonthly, bond::convexity(), marketData::creditcurve, Day30_360, Day30_365, DayCountConvention, bond::duration(), EveryFourthMonth, bond::fairvalue(), Frequency, Integer, Monthly, Natural, NoFrequency, Once, Date::plusDays(), Quarterly, Real, Semiannual, Date::setDateToToday(), marketData::yieldcurve, and bond::yieldToMaturity(). Referenced by productsCreationMenu().

BlackScholes* inputBSOption (  marketData  data  )

User interface to input and store a BS option. Definition at line 52 of file productsCreation.cpp. References Call, BlackScholes::getDelta(), BlackScholes::getGamma(), BlackScholes::getPrice(), BlackScholes::getRho(), BlackScholes::getTheta(), BlackScholes::getVega(), Integer, Natural, outputCallPut(), Date::plusDays(), Put, Real, Date::setDateToToday(), yieldCurve::spotRate(), TypeOptionBS, volsurface::volatility(), marketData::vols, and marketData::yieldcurve. Referenced by inputOptionStrategy(), and productsCreationMenu().

void inputButterflySpread (  marketData  data, OptionStrategy &  strategy, bool  useMarketData )

add a butterfly spread to the strategy Definition at line 214 of file productsCreation.cpp. References OptionStrategy::addLongButterflySpread(), Integer, Natural, Date::plusDays(), Real, Date::setDateToToday(), yieldCurve::spotRate(), volsurface::volatility(), marketData::vols, and marketData::yieldcurve. Referenced by inputSpecificOptionStrategy().

void inputCallSpread (  marketData  data, OptionStrategy &  strategy, bool  useMarketData )

add a call spread to the strategy Definition at line 263 of file productsCreation.cpp. References OptionStrategy::addLongCallSpread(), Integer, Date::plusDays(), Real, Date::setDateToToday(), yieldCurve::spotRate(), volsurface::volatility(), marketData::vols, and marketData::yieldcurve. Referenced by inputSpecificOptionStrategy().

convertiblebond* inputConvertibleBond (  marketData &  data  )

User interface to input a convertible bond. Definition at line 533 of file productsCreation.cpp. References ACT_365, marketData::creditcurve, Integer, Natural, Date::plusDays(), Real, Date::setDateToToday(), and marketData::yieldcurve. Referenced by productsCreationMenu().

Exotics* inputExoticOptionOnSingleAsset (  marketData &  data  )

User interface to input and store an Exotic Option with a single underlying (MC Price). Definition at line 424 of file productsCreation.cpp. References choiceToType(), CollaredCliquet, exoticsType, importData::getData(), Exotics::getDelta(), Exotics::getPrice(), Exotics::getRho(), Exotics::getTheta(), Exotics::getVega(), LongNatural, Natural, Real, importData::runUserDefinedInterface(), marketData::vols, and marketData::yieldcurve. Referenced by productsCreationMenu().

OptionStrategy inputOptionStrategy (  marketData  data  )

User interface to input and store an option strategy and options in it. Definition at line 119 of file productsCreation.cpp. References OptionStrategy::addOneBlackScholesObject(), OptionStrategy::getGlobalDelta(), OptionStrategy::getGlobalGamma(), OptionStrategy::getGlobalRho(), OptionStrategy::getGlobalTheta(), OptionStrategy::getGlobalVega(), inputBSOption(), inputSpecificOptionStrategy(), Natural, Real, and OptionStrategy::returnPrice(). Referenced by productsCreationMenu().

void inputPutSpread (  marketData  data, OptionStrategy &  strategy, bool  useMarketData )

add a put spread to the strategy Definition at line 296 of file productsCreation.cpp. References OptionStrategy::addLongPutSpread(), Integer, Date::plusDays(), Real, Date::setDateToToday(), yieldCurve::spotRate(), volsurface::volatility(), marketData::vols, and marketData::yieldcurve. Referenced by inputSpecificOptionStrategy().

RainbowOption* inputRainbowOption (  marketData  data  )

To input a Rainbow Option. Definition at line 1039 of file productsCreation.cpp. References choosePricingType(), chooseRainbowType(), RainbowOption::getCorrelRisk(), RainbowOption::getPartialDelta(), RainbowOption::getPartialGamma(), RainbowOption::getPartialVega(), RainbowOption::getPrice(), RainbowOption::getRho(), Natural, priceType, rainbowType, Real, Date::setDateToToday(), marketData::vols, and marketData::yieldcurve. Referenced by productsCreationMenu().

void inputRatioCallSpread (  marketData  data, OptionStrategy &  strategy, bool  useMarketData )

add a ratio call spread to the strategy Definition at line 329 of file productsCreation.cpp. References OptionStrategy::addLongRatioCallSpread(), Integer, Date::plusDays(), Real, Date::setDateToToday(), yieldCurve::spotRate(), volsurface::volatility(), marketData::vols, and marketData::yieldcurve. Referenced by inputSpecificOptionStrategy().

void inputSpecificOptionStrategy (  marketData  data, OptionStrategy &  strategy )

add something else to the strategy than a Call/Put Definition at line 169 of file productsCreation.cpp. References inputButterflySpread(), inputCallSpread(), inputPutSpread(), inputRatioCallSpread(), inputStraddle(), inputStrangle(), and Natural. Referenced by inputOptionStrategy().

void inputStraddle (  marketData  data, OptionStrategy &  strategy, bool  useMarketData )

add a Straddle to the strategy Definition at line 362 of file productsCreation.cpp. References OptionStrategy::addLongStraddle(), Integer, Date::plusDays(), Real, Date::setDateToToday(), yieldCurve::spotRate(), volsurface::volatility(), marketData::vols, and marketData::yieldcurve. Referenced by inputSpecificOptionStrategy().

void inputStrangle (  marketData  data, OptionStrategy &  strategy, bool  useMarketData )

add a strangle to the strategy Definition at line 390 of file productsCreation.cpp. References OptionStrategy::addLongStrangle(), Integer, Date::plusDays(), Real, Date::setDateToToday(), yieldCurve::spotRate(), volsurface::volatility(), marketData::vols, and marketData::yieldcurve. Referenced by inputSpecificOptionStrategy().

VanillaSwap* inputVanillaSwap (  marketData  data  )

User interface to input an interest rate vanilla swap. Definition at line 866 of file productsCreation.cpp. References Following, VanillaSwap::getFairValue1(), VanillaSwap::getFairValue2(), VanillaSwap::getRho(), VanillaSwap::getTheta(), Integer, Natural, Date::plusDays(), Real, VanillaSwap::returnPrice(), Date::setDateToToday(), and marketData::yieldcurve. Referenced by productsCreationMenu().

string outputCallPut (  char  c  )

Transform the input c/C/p/P into "Call" or "Put". Definition at line 108 of file productsCreation.cpp. Referenced by inputBSOption().

bool productsCreationMenu (  marketData  data  )

Menu for this category. Definition at line 4 of file productsCreation.cpp. References inputBond(), inputBSOption(), inputConvertibleBond(), inputExoticOptionOnSingleAsset(), inputOptionStrategy(), inputRainbowOption(), inputVanillaSwap(), and Natural. Referenced by main().

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