CommodityAveragePriceOptionBaseEngine Class Reference

#include <qle/pricingengines/commodityapoengine.hpp>

Inheritance diagram for CommodityAveragePriceOptionBaseEngine:

Public Member Functions
	CommodityAveragePriceOptionBaseEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantExt::BlackScholesModelWrapper > &model, QuantLib::Real beta=0.0, QuantLib::DiffusionModelType modelType=QuantLib::DiffusionModelType::AsInputVolatilityType, QuantLib::Real displacement=0.0)
	CommodityAveragePriceOptionBaseEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol, QuantLib::Real beta=0.0, QuantLib::DiffusionModelType modelType=QuantLib::DiffusionModelType::AsInputVolatilityType, QuantLib::Real displacement=0.0)

Protected Member Functions
QuantLib::Real	rho (const QuantLib::Date &ed_1, const QuantLib::Date &ed_2) const
	Return the correlation between two future expiry dates ed_1 and ed_2.
bool	isModelDependent () const
bool	barrierTriggered (const Real price, const bool logPrice, const int strictBarrier) const
bool	alive (const bool barrierTriggered) const

Protected Attributes
QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_
QuantLib::Handle< QuantLib::BlackVolTermStructure >	volStructure_
QuantLib::Real	beta_
QuantLib::Real	logBarrier_
QuantLib::DiffusionModelType	modelType_
QuantLib::Real	displacement_

Detailed Description

Commodity APO Engine base class Correlation is parametrized as \(\rho(s, t) = \exp(-\beta * \abs(s - t))\) where \(s\) and \(t\) are times to futures expiry.

Member Function Documentation

isModelDependent()

bool isModelDependent ( ) const

protected

In certain cases, the APO value is not model dependent. This method returns true if the APO value is model dependent. If the APO value is not model dependent, this method returns false and populates the results with the model independent value.

barrierTriggered()

bool barrierTriggered ( const Real price, const bool logPrice, const int strictBarrier ) const

protected

Check barriers on given (log-)price

alive()

bool alive ( const bool barrierTriggered ) const

protected

Check whether option is alive depending on whether barrier was triggered