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‎Docs/UserGuide/parameterisation/pricingengines.tex‎

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@@ -2086,6 +2086,154 @@ \subsubsection{Product Type: EquityAsianOptionGeometricStrike}
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\label{lst:peconfig_EquityAsianOptionGeometricStrike_ScriptedTrade_ScriptedTrade}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: EquityBarrierOption, FxBarrierOption}
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%--------------------------------------------------------
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Used by trade type: EquityBarrierOption resp. FxBarrierOption
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Available Model/Engine pairs:
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\begin{itemize}
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\item BlackScholesMerton/AnalyticBarrierEngine
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\item BlackScholesMerton/FdBlackScholesBarrierEngine
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\end{itemize}
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Engine description:
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BlackScholes/AnalyticBarrierEngine builds a AnalyticBarrierEngine. A sample configuration is shown in listing
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\ref{lst:peconfig_EquityBarrierOption_BlackScholesMerton_AnalyticBarrierEngine} for equity. The configuration for fx is
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identical except the Model is set to GarmanKohlhagen.
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="EquityBarrierOption">
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<Model>BlackScholesMerton</Model>
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<ModelParameters/>
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<Engine>AnalyticBarrierEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">EQ_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product EquityBarrierOption, Model BlackScholesMertong Engine AnalyticBarrierEngine}
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\label{lst:peconfig_EquityBarrierOption_BlackScholesMerton_AnalyticBarrierEngine}
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\end{longlisting}
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BlackScholes/FdBlackScholesBarrierEngine builds a FdBlackScholesBarrierEngine. A sample configuration is shown in
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listing \ref{lst:peconfig_EquityBarrierOption_BlackScholesMerton_FdBlackScholesBarrierEngine} for equity. The
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configuration for fx is identical except the Model is set to GarmanKohlhagen.
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The parameters have the following meaning:
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\begin{itemize}
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\item Scheme: The finite difference scheme to use
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\item TimeStepsPerYear: Time grid specification
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\item XGrid: State grid specification
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\item DampingSteps: Number of damping steps taken by FD solver
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\item EnforceMonotoneVariance [optional]: If true variance is modified to be monotone if needed, defaults to true
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="EquityBarrierOption">
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<Model>BlackScholesMerton</Model>
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<ModelParameters/>
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<Engine>FdBlackScholesBarrierEngine</Engine>
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<EngineParameters>
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<Parameter name="Scheme">Douglas</Parameter>
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<Parameter name="TimeGridPerYear">100</Parameter>
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<Parameter name="XGrid">100</Parameter>
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<Parameter name="DampingSteps">0</Parameter>
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<Parameter name="EnforceMonotoneVariance">true</Parameter>
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<Parameter name="SensitivityTemplate">EQ_FD</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product EquityBarrierOption, Model BlackScholesMerton, Engine FdBlackScholesBarrierEngine}
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\label{lst:peconfig_EquityBarrierOption_BlackScholesMerton_FdBlackScholesBarrierEngine}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: EquityDoubleBarrierOption, FxDoubleBarrierOption}
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%--------------------------------------------------------
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Used by trade type: EquityDoubleBarrierOption, FxDoubleBarrierOption
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Available Model/Engine pairs: GarmanKohlhagen/AnalyticDoubleBarrierEngine (both fx and equity)
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Engine description:
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GarmanKohlhagen/AnalyticDoubleBarrierEngine builds a AnalyticDoubleBarrierEngine. A sample configuration is shown in
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listing \ref{lst:peconfig_FxDoubleBarrierOption_GarmanKohlhagen_AnalyticDoubleBarrierEngine}. The configuration for equity
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is identical.
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="FxDoubleBarrierOption">
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<Model>GarmanKohlhagen</Model>
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<ModelParameters/>
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<Engine>AnalyticDoubleBarrierEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">FX_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product FxDoubleBarrierOption, Model GarmanKohlhagen, Engine AnalyticDoubleBarrierBinaryEngine}
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\label{lst:peconfig_FxDoubleBarrierOption_GarmanKohlhagen_AnalyticDoubleBarrierEngine}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: EquityDigitalOption, FxDigitalOption}
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%--------------------------------------------------------
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Used by trade type: EquityDigitalOption, FxDigitalOption
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Available Model/Engine pairs: BlackScholesMerton/AnalyticEuropeanEngine (equity)
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resp. GarmanKohlhagen/AnalyticEuropeanEngine (fx)
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Engine description:
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BlackScholesMerton/AnalyticEuropeanEngine (equity) resp. GarmanKohlhagen/AnalyticEuropeanEngine (fx) builds a
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AnalyticEuropeanEngine. A sample configuration is shown in listing
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\ref{lst:peconfig_FxDigitalOption_GarmanKohlhagen_AnalyticEuropeanEngine} for fx. The configuration for equity is
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identical except the Model is set to BlackScholesMerton.
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="FxDigitalOption">
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<Model>GarmanKohlhagen</Model>
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<ModelParameters/>
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<Engine>AnalyticEuropeanEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">FX_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product FxDigitalOption, Model GarmanKohlhagen, Engine AnalyticEuropeanEngine}
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\label{lst:peconfig_FxDigitalOption_GarmanKohlhagen_AnalyticEuropeanEngine}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: EquityEuropeanCompositeOption}
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%--------------------------------------------------------
@@ -2297,6 +2445,43 @@ \subsubsection{Product Type: EquityOptionAmerican}
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\label{lst:peconfig_EquityOptionAmerican_BlackScholesMerton_BaroneAdesiWhaleyApproximationEngine}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: EquityTouchOption, FxTouchOption}
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%--------------------------------------------------------
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Used by trade type: EquityTouchOption, FxTouchOption
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Available Model/Engine pairs: BlackScholesMerton/AnalyticDigitalAmericanEngine for equity
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resp. GarmanKohlhagen/AnalyticDigitalAmericanEngine for fx
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Engine description:
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BlackScholesMerton/AnalyticDigitalAmericanEngine (equity) reps. GarmanKohlhagen/AnalyticDigitalAmericanEngine (fx)
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builds a AnalyticDigitalAmericanEngine (one touch) or AnalyticDigitalAmericanKOEngine (no touch). A sample configuration
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is shown in listing \ref{lst:peconfig_FxTouchOption_GarmanKohlhagen_AnalyticDigitalAmericanEngine} for fx. The
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configuration for equity is the same except the Model ist set to BlackScholesMerton.
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="FxTouchOption">
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<Model>GarmanKohlhagen</Model>
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<ModelParameters/>
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<Engine>AnalyticDigitalAmericanEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">FX_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product , Model , Engine }
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\label{lst:peconfig_FxTouchOption_GarmanKohlhagen_AnalyticDigitalAmericanEngine}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: EquityVarianceSwap, CommodityVarianceSwap, FxVarianceSwap}
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%--------------------------------------------------------
@@ -2813,40 +2998,6 @@ \subsubsection{Product Type: FxAsianOptionGeometricStrike}
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\label{lst:peconfig_FxAsianOptionGeometricStrike_ScriptedTrade_ScriptedTrade}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: FxDigitalOption}
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%--------------------------------------------------------
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Used by trade type: FxDigitalOption
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Available Model/Engine pairs: GarmanKohlhagen/AnalyticEuropeanEngine
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Engine description:
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GarmanKohlhagen/AnalyticEuropeanEngine builds a AnalyticEuropeanEngine. A sample configuration is shown in listing
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\ref{lst:peconfig_FxDigitalOption_GarmanKohlhagen_AnalyticEuropeanEngine}
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="FxDigitalOption">
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<Model>GarmanKohlhagen</Model>
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<ModelParameters/>
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<Engine>AnalyticEuropeanEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">FX_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product FxDigitalOption, Model GarmanKohlhagen, Engine AnalyticEuropeanEngine}
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\label{lst:peconfig_FxDigitalOption_GarmanKohlhagen_AnalyticEuropeanEngine}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: FxDigitalOptionEuropeanCS}
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%--------------------------------------------------------
@@ -3116,41 +3267,6 @@ \subsubsection{Product Type: FxOptionAmerican}
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\label{lst:peconfig_FxOptionAmerican_GarmanKohlhagen_BaroneAdesiWhaleyApproximationEngine}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: FxTouchOption}
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%--------------------------------------------------------
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Used by trade type: FxTouchOption
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Available Model/Engine pairs: GarmanKohlhagen/AnalyticDigitalAmericanEngine
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Engine description:
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GarmanKohlhagen/AnalyticDigitalAmericanEngine builds a AnalyticDigitalAmericanEngine (one touch) or
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AnalyticDigitalAmericanKOEngine (no touch). A sample configuration is shown in listing
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\ref{lst:peconfig_FxTouchOption_GarmanKohlhagen_AnalyticDigitalAmericanEngine}
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="FxTouchOption">
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<Model>GarmanKohlhagen</Model>
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<ModelParameters/>
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<Engine>AnalyticDigitalAmericanEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">FX_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product , Model , Engine }
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\label{lst:peconfig_FxTouchOption_GarmanKohlhagen_AnalyticDigitalAmericanEngine}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: FxDoubleTouchOption}
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%--------------------------------------------------------
@@ -3172,10 +3288,10 @@ \subsubsection{Product Type: FxDoubleTouchOption}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="FxDoubleBarrierOption">
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<Product type="FxDoubleTouchOption">
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<Model>GarmanKohlhagen</Model>
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<ModelParameters/>
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<Engine>AnalyticDoubleBarrierEngine</Engine>
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<Engine>AnalyticDoubleBarrierBinaryEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">FX_Analytical</Parameter>
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</EngineParameters>

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