american_option_approximation Class Reference

#include <american_option_approximation.h>

Inheritance diagram for american_option_approximation:

[legend]Collaboration diagram for american_option_approximation:

Detailed Description

This class uses the Black Scholes formulae for European options, to approximate the values of American options. The value of the American option, is approximated as the maximum value of all European options, with Tau between 0, and the Tau of the American option.

Definition at line 86 of file american_option_approximation.h.

Public Member Functions

virtual const char * get_class_name ()

void local_set_null ()

void set_null ()

virtual void init_calc_derived_attributes () const

void init (const american_option_approximation &rhs)

american_option_approximation & operator= (const american_option_approximation &rhs)

american_option_approximation (const american_option_approximation &rhs)

void init (double S, double K, double Tau, double Alpha=0, double R=0.05, double Sigma=0.2, double Vega_epsilon=1e-5, uint Max_iter=100)

american_option_approximation (double S=0, double K=0, double Tau=0, double Alpha=0, double R=0.05, double Sigma=0.2, double Vega_epsilon=1e-5, uint Max_iter=100)

virtual ~american_option_approximation ()

double get_vega_epsilon () const

const uint & get_max_iter () const

const european_option_pair & get_optvar () const

bool get_call_early_exercise () const

bool get_put_early_exercise () const

double get_call_tau () const

double get_put_tau () const

void put_vega_epsilon (double Vega_epsilon)

void put_max_iter (uint Max_iter)

void init_simple_attributes (const american_option_approximation &rhs)

virtual double call_intrinsic_value () const

virtual double put_intrinsic_value () const

void set_call (const european_option_pair &rhs) const

void set_put (const european_option_pair &rhs) 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, double Vega_epsilon, uint Max_iter)

Protected Attributes

double _vega_epsilon

uint _max_iter

european_option_pair _optvar

bool _call_early_exercise

bool _put_early_exercise

double _call_tau

double _put_tau

Static Protected Attributes

static const char * _error_msg

static int _erno

Friends

AMERICANAPPROXFNC ostream
&STDCALL operator<< (ostream &os, const american_option_approximation &rhs)

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

Generated on Fri Jan 7 12:36:19 2011 for public_options by

1.5.1


Public Member Functions
virtual const char *	get_class_name ()
void	local_set_null ()
void	set_null ()
virtual void	init_calc_derived_attributes () const
void	init (const american_option_approximation &rhs)
american_option_approximation &	operator= (const american_option_approximation &rhs)
	american_option_approximation (const american_option_approximation &rhs)
void	init (double S, double K, double Tau, double Alpha=0, double R=0.05, double Sigma=0.2, double Vega_epsilon=1e-5, uint Max_iter=100)
	american_option_approximation (double S=0, double K=0, double Tau=0, double Alpha=0, double R=0.05, double Sigma=0.2, double Vega_epsilon=1e-5, uint Max_iter=100)
virtual	~american_option_approximation ()
double	get_vega_epsilon () const
const uint &	get_max_iter () const
const european_option_pair &	get_optvar () const
bool	get_call_early_exercise () const
bool	get_put_early_exercise () const
double	get_call_tau () const
double	get_put_tau () const
void	put_vega_epsilon (double Vega_epsilon)
void	put_max_iter (uint Max_iter)
void	init_simple_attributes (const american_option_approximation &rhs)
virtual double	call_intrinsic_value () const
virtual double	put_intrinsic_value () const
void	set_call (const european_option_pair &rhs) const
void	set_put (const european_option_pair &rhs) 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, double Vega_epsilon, uint Max_iter)
Protected Attributes
double	_vega_epsilon
uint	_max_iter
european_option_pair	_optvar
bool	_call_early_exercise
bool	_put_early_exercise
double	_call_tau
double	_put_tau
Static Protected Attributes
static const char *	_error_msg
static int	_erno
Friends
AMERICANAPPROXFNC ostream &STDCALL	operator<< (ostream &os, const american_option_approximation &rhs)