CommodityAveragePriceOptionAnalyticalEngine Class Reference

#include <qle/pricingengines/commodityapoengine.hpp>

Inheritance diagram for CommodityAveragePriceOptionAnalyticalEngine:

Public Member Functions
void	calculate () const override
	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)
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_

Detailed Description

Commodity APO Analytical Engine Analytical pricing based on the two-moment Turnbull-Wakeman approximation. Reference: Iain Clark, Commodity Option Pricing, Wiley, section 2.7.4 See also the documentation in the ORE+ product catalogue.