american_option_fudge Class Reference

#include <americanfudge.h>

Inheritance diagram for american_option_fudge:

[legend]Collaboration diagram for american_option_fudge:

Detailed Description

This class approximates the value of American Options as the value of the corresponding European option, plus the addition of a fudge factor, to make the exercise boundaries align correctly. It is much faster than the binomial model.

Definition at line 84 of file americanfudge.h.

Public Member Functions

virtual const char * get_class_name ()

void set_null ()

virtual void init_calc_derived_attributes () const

void init (const american_option_fudge &rhs)

american_option_fudge & operator= (const american_option_fudge &rhs)

american_option_fudge (const american_option_fudge &rhs)

void init (double S, double K, double Tau, double Alpha=0, double R=0.05, double Sigma=0.2)

american_option_fudge (double S=0, double K=0, double Tau=0, double Alpha=0, double R=0.05, double Sigma=0.2)

void deinit ()

virtual ~american_option_fudge ()

double get_call_fudge () const

double get_d_call_fudge_ds () const

double get_d_call_fudge_dt () const

double get_put_fudge () const

double get_d_put_fudge_ds () const

double get_d_put_fudge_dt () const

void init_simple_attributes (const american_option_fudge &rhs)

virtual double call_intrinsic_value () const

virtual double put_intrinsic_value () const

Static Public Member Functions

static const char * get_error_msg ()

static int get_erno ()

static int check_attributes (double S, double K, double Tau, double Alpha, double R, double Sigma)

Protected Attributes

double _call_fudge

double _d_call_fudge_ds

double _d_call_fudge_dt

double _put_fudge

double _d_put_fudge_ds

double _d_put_fudge_dt

Static Protected Attributes

static const char * _error_msg

static int _erno

Friends

AMERICANFUDGEFNC ostream
&STDCALL operator<< (ostream &os, const american_option_fudge &rhs)

The documentation for this class was generated from the following files:

Generated on Thu Sep 10 18:21:50 2009 for public_options by

1.5.1


Public Member Functions
virtual const char *	get_class_name ()
void	set_null ()
virtual void	init_calc_derived_attributes () const
void	init (const american_option_fudge &rhs)
american_option_fudge &	operator= (const american_option_fudge &rhs)
	american_option_fudge (const american_option_fudge &rhs)
void	init (double S, double K, double Tau, double Alpha=0, double R=0.05, double Sigma=0.2)
	american_option_fudge (double S=0, double K=0, double Tau=0, double Alpha=0, double R=0.05, double Sigma=0.2)
void	deinit ()
virtual	~american_option_fudge ()
double	get_call_fudge () const
double	get_d_call_fudge_ds () const
double	get_d_call_fudge_dt () const
double	get_put_fudge () const
double	get_d_put_fudge_ds () const
double	get_d_put_fudge_dt () const
void	init_simple_attributes (const american_option_fudge &rhs)
virtual double	call_intrinsic_value () const
virtual double	put_intrinsic_value () const
Static Public Member Functions
static const char *	get_error_msg ()
static int	get_erno ()
static int	check_attributes (double S, double K, double Tau, double Alpha, double R, double Sigma)
Protected Attributes
double	_call_fudge
double	_d_call_fudge_ds
double	_d_call_fudge_dt
double	_put_fudge
double	_d_put_fudge_ds
double	_d_put_fudge_dt
Static Protected Attributes
static const char *	_error_msg
static int	_erno
Friends
AMERICANFUDGEFNC ostream &STDCALL	operator<< (ostream &os, const american_option_fudge &rhs)