Class AutoStochasticProcessPricer

Inheritance Relationships

Base Type

Class Documentation

class AutoStochasticProcessPricer : public otyca::StochasticProcessPricer

A stochastic process pricer that automatically selects specialized pricers based on input.

This class extends StochasticProcessPricer and manages a collection of specialized pricers internally. It delegates pricing, derivative calculation, implied volatility computation, and PDF evaluation to the appropriate pricer for each case.

Public Functions

inline virtual std::string name()

Returns the name of the pricer.

Returns:

A string identifying the class name.

virtual std::vector<std::vector<double>> price(const StochasticProcess *process, const std::vector<double> &tenors, const std::vector<std::vector<double>> &strikes, StrikeType strike_type = LOG_STRIKE) const

Prices the given stochastic process at specified maturities and strikes.

Parameters:

  • process – The stochastic process to price.

  • tenors – Vector of tenors.

  • strikes – 2D vector of strike values.

  • strike_type – Type of strikes (e.g., log-strike).

Returns:

A 2D vector of computed prices.

virtual std::vector<std::vector<std::vector<double>>> price_derivatives(const StochasticProcess *process, const std::vector<double> &tenors, const std::vector<std::vector<double>> &strikes, StrikeType strike_type = LOG_STRIKE) const

Computes derivatives of the prices with respect to strikes.

Parameters:

  • process – The stochastic process to price.

  • tenors – Vector of tenors.

  • strikes – 2D vector of strike values.

  • strike_type – Type of strikes (e.g., log-strike).

Returns:

A 3D vector where the third dimension holds different derivatives.

virtual std::vector<std::vector<double>> implied_volatility(const StochasticProcess *process, const std::vector<double> &tenors, const std::vector<std::vector<double>> &strikes, StrikeType strike_type = LOG_STRIKE, double tolerance = 1e-4) const

Computes implied volatilities corresponding to given strikes and maturities.

Parameters:

  • process – The stochastic process to price.

  • tenors – Vector of tenors.

  • strikes – 2D vector of strike values.

  • strike_type – Type of strikes (e.g., log-strike).

  • tolerance – Numerical tolerance for implied volatility inversion.

Returns:

A 2D vector of implied volatilities.

virtual std::vector<std::vector<double>> pdf(const StochasticProcess *process, const std::vector<double> &tenors, const std::vector<std::vector<double>> &strikes, StrikeType strike_type = LOG_STRIKE) const

Computes the probability density function (PDF) values at specified strikes and maturities.

Parameters:

  • process – The stochastic process.

  • tenors – Vector of tenors.

  • strikes – 2D vector of strike values.

  • strike_type – Type of strikes (e.g., log-strike).

Returns:

A 2D vector of PDF values.