#include <qle/pricingengines/commodityapoengine.hpp>
Public Member Functions | |
CommodityAveragePriceOptionMonteCarloEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantExt::BlackScholesModelWrapper > &model, QuantLib::Size samples, QuantLib::Real beta=0.0, const QuantLib::Size seed=42) | |
CommodityAveragePriceOptionMonteCarloEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol, QuantLib::Size samples, QuantLib::Real beta=0.0, const QuantLib::Size seed=42) | |
void | calculate () const override |
Public Member Functions inherited from CommodityAveragePriceOptionBaseEngine | |
CommodityAveragePriceOptionBaseEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantExt::BlackScholesModelWrapper > &model, QuantLib::Real beta=0.0) | |
CommodityAveragePriceOptionBaseEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol, QuantLib::Real beta=0.0) | |
Additional Inherited Members | |
Protected Member Functions inherited from CommodityAveragePriceOptionBaseEngine | |
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 |
bool | alive (const bool barrierTriggered) const |
Protected Attributes inherited from CommodityAveragePriceOptionBaseEngine | |
QuantLib::Handle< QuantLib::YieldTermStructure > | discountCurve_ |
QuantLib::Handle< QuantLib::BlackVolTermStructure > | volStructure_ |
QuantLib::Real | beta_ |
QuantLib::Real | logBarrier_ |
Commodity APO Monte Carlo Engine Monte Carlo implementation of the APO payoff Reference: Iain Clark, Commodity Option Pricing, Wiley, section 2.7.4, equations (2.118) and (2.126)