TreeProductEuropean Class Reference

TreeProduct methods for European options. More...

#include <european.h>

Inheritance diagram for TreeProductEuropean:

List of all members.

Public Member Functions
virtual coefficient	current_price (const PiecewiseLinear &current, const Portfolio &holdings=Portfolio(0, 0)) const =0
coefficient	expiry () const
virtual PiecewiseLinear	final_hedge (const Spot &spot) const =0
PiecewiseLinear	interim_hedge (const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge) const
Portfolio	next_portfolio (const coefficient t, const Spot &spot, const PiecewiseLinear &future_hedge, const Portfolio &current_portfolio) const
Portfolio	payoff (const Spot &spot) const
PiecewiseLinear	payoff_hedge (const Spot &spot) const
	TreeProductEuropean (const coefficient expiry, const PayoffBridge &payoff)

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Detailed Description

TreeProduct methods for European options.

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Constructor & Destructor Documentation

TreeProductEuropean::TreeProductEuropean	(	const coefficient	expiry,
		const PayoffBridge &	payoff
	)		[inline]

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Member Function Documentation

virtual coefficient TreeProduct::current_price	(	const PiecewiseLinear &	current,
		const Portfolio &	holdings = Portfolio(0, 0)
	)		const [pure virtual, inherited]

Computes current price of option, given the holdings of the investor

Parameters:

current	Lower boundary of set of hedging portfolios
holdings	Current holdings of investor

Implemented in TreeProductAmericanBuyer, TreeProductAmericanSeller, TreeProductEuropeanBuyer, and TreeProductEuropeanSeller.

coefficient TreeProduct::expiry

(

)

const [inline, inherited]

Expiry time.

virtual PiecewiseLinear TreeProduct::final_hedge

(

const Spot &

spot

)

const [pure virtual, inherited]

Finds set of portfolios that hedges the option at its expiry time.

Parameters:

spot	Price of underlying asset

Returns:

Piecewise linear function that gives the lower boundary of set of hedging portfolios

Implemented in TreeProductAmericanBuyer, TreeProductAmericanBuyerOptional, TreeProductAmericanSeller, TreeProductAmericanSellerOptional, TreeProductEuropeanBuyerOptional, TreeProductEuropeanSeller, and TreeProductEuropeanSellerOptional.

PiecewiseLinear TreeProductEuropean::interim_hedge	(	const coefficient	t,
		const Spot &	spot,
		const PiecewiseLinear &	future_hedge
	)		const [inline, virtual]

At an interim time step, finds set of portfolios that hedges the payoff of the option in the future

Parameters:

t	Time
spot	Price of underlying asset
future_hedge	Piecewise linear function whose epigraph consist of portfolios that hedge the option at all future time steps

Returns:

Piecewise linear function that gives the lower boundary of set of hedging portfolios

Implements TreeProduct.

Portfolio TreeProduct::next_portfolio	(	const coefficient	t,
		const Spot &	spot,
		const PiecewiseLinear &	future_hedge,
		const Portfolio &	current_portfolio
	)		const [inline, inherited]

Given a portfolio that hedges at the current time, computes a portfolio into which the trader can enter that hedges at all future times

Parameters:

t	Time
spot	Price of underlying asset
future_hedge	Piecewise linear function whose epigraph consist of portfolios that hedge the option at all future time steps
current_portfolio	Current portfolio. Must correspond to a point in the epigraph of interim_hedge(t, spot, future_hedge) (this is not checked).

Returns:

Portfolio that will hedge the product over the next time step.

Portfolio TreeProductEuropean::payoff

(

const Spot &

spot

)

const [inline]

PiecewiseLinear TreeProductEuropean::payoff_hedge

(

const Spot &

spot

)

const [inline]

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

• treeproduct/european.h