#include <simpleoption.h>
Inheritance diagram for european_option_pair:
This encapsulation allows for:
Definition at line 99 of file simpleoption.h.
Public Member Functions | |
| virtual const char * | get_class_name () |
| void | set_null () |
| virtual void | init_calc_derived_attributes () const |
| void | init (const european_option_pair &rhs) |
| european_option_pair & | operator= (const european_option_pair &rhs) |
| european_option_pair (const european_option_pair &rhs) | |
| void | init (double S, double K, double Tau, double Alpha=0, double R=0.05, double Sigma=0.2) |
| european_option_pair (double S=0, double K=0, double Tau=0, double Alpha=0, double R=0.05, double Sigma=0.2) | |
| void | deinit () |
| virtual | ~european_option_pair () |
| double | get_mu () const |
| double | get_sqrt_tau () const |
| double | get_sigma_sqrt_tau () const |
| double | get_log_S_K () const |
| double | get_Zk () const |
| double | get_dZk_dtau () const |
| double | get_h () const |
| double | get_dh_dtau () const |
| double | get_N_h () const |
| double | get_N_Zk () const |
| double | get_exp_alpha_r_t () const |
| double | get_exp_r_t () const |
| double | get_S_exp_alpha_r_t () const |
| double | get_K_exp_r_t () const |
| double | get_d3C_dS2_dtau () const |
| double | get_d3P_dS2_dtau () const |
| double | get_dh_dsigma () const |
| double | get_dZ_dsigma () const |
| double | get_d2C_dsigma2 () const |
| double | get_d2P_dsigma2 () const |
| double | get_dC_dtau () const |
| double | get_dP_dtau () const |
| double | get_d2C_dtau2 () const |
| double | get_d2P_dtau2 () const |
| double | get_d2C_dS_dtau () const |
| double | get_d2P_dS_dtau () const |
| double | get_P_h () const |
| void | init_simple_attributes (const european_option_pair &rhs) |
| virtual double | call_intrinsic_value () const |
| virtual double | put_intrinsic_value () const |
| void | init_call_values (const european_option_pair &rhs) |
| void | init_put_values (const european_option_pair &rhs) |
| double | dC_dt_tau (double tau) |
| double | d2C_dt2_tau (double tau) |
| double | dP_dt_tau (double tau) |
| double | d2P_dt2_tau (double tau) |
| double | C_tau (double tau) |
| double | P_tau (double tau) |
| double | dC_dsigma (double sigma) |
| double | d2C_dsigma2 (double sigma) |
| double | dP_dsigma (double sigma) |
| double | d2P_dsigma2 (double sigma) |
| void | set_call_immediate_exercise () const |
| void | set_put_immediate_exercise () 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 | _mu |
| double | _sqrt_tau |
| double | _sigma_sqrt_tau |
| double | _log_S_K |
| double | _Zk |
| double | _dZk_dtau |
| double | _h |
| double | _dh_dtau |
| double | _N_h |
| double | _N_Zk |
| double | _exp_alpha_r_t |
| double | _exp_r_t |
| double | _S_exp_alpha_r_t |
| double | _K_exp_r_t |
| double | _d3C_dS2_dtau |
| double | _d3P_dS2_dtau |
| double | _dh_dsigma |
| double | _dZ_dsigma |
| double | _d2C_dsigma2 |
| double | _d2P_dsigma2 |
| double | _dC_dtau |
| double | _dP_dtau |
| double | _d2C_dtau2 |
| double | _d2P_dtau2 |
| double | _d2C_dS_dtau |
| double | _d2P_dS_dtau |
| double | _P_h |
Static Protected Attributes | |
| static const char * | _error_msg |
| static int | _erno |
Friends | |
| class | american_option_approximation |
| SIMPOPTFNC ostream &STDCALL | operator<< (ostream &os, const european_option_pair &rhs) |
1.5.1