BlackMultiLegOptionEngine Class Reference

#include <qle/pricingengines/blackmultilegoptionengine.hpp>

Inheritance diagram for BlackMultiLegOptionEngine:

Collaboration diagram for BlackMultiLegOptionEngine:

Public Member Functions
	BlackMultiLegOptionEngine (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &volatility)
void	calculate () const override
Public Member Functions inherited from BlackMultiLegOptionEngineBase
	BlackMultiLegOptionEngineBase (const Handle< YieldTermStructure > &discountCurve, const Handle< SwaptionVolatilityStructure > &volatility)

Additional Inherited Members
Static Public Member Functions inherited from BlackMultiLegOptionEngineBase
static bool	instrumentIsHandled (const MultiLegOption &m, std::vector< std::string > &messages)
Protected Member Functions inherited from BlackMultiLegOptionEngineBase
void	calculate () const
Static Protected Member Functions inherited from BlackMultiLegOptionEngineBase
static bool	instrumentIsHandled (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currency, const QuantLib::ext::shared_ptr< Exercise > &exercise, const Settlement::Type &settlementType, const Settlement::Method &settlementMethod, std::vector< std::string > &messages)
Protected Attributes inherited from BlackMultiLegOptionEngineBase
Handle< YieldTermStructure >	discountCurve_
Handle< SwaptionVolatilityStructure >	volatility_
std::vector< Leg >	legs_
std::vector< bool >	payer_
std::vector< Currency >	currency_
QuantLib::ext::shared_ptr< Exercise >	exercise_
Settlement::Type	settlementType_
Settlement::Method	settlementMethod_
Real	npv_
Real	underlyingNpv_
std::map< std::string, boost::any >	additionalResults_

Detailed Description

Definition at line 66 of file blackmultilegoptionengine.hpp.

Constructor & Destructor Documentation

BlackMultiLegOptionEngine()

BlackMultiLegOptionEngine	(	const Handle< YieldTermStructure > &	discountCurve,
		const Handle< SwaptionVolatilityStructure > &	volatility
	)

Definition at line 353 of file blackmultilegoptionengine.cpp.

    : BlackMultiLegOptionEngineBase(discountCurve, volatility) {
    registerWith(discountCurve_);
    registerWith(volatility_);
}

Member Function Documentation

calculate()

void calculate ( ) const

override

Definition at line 360 of file blackmultilegoptionengine.cpp.

                                                {
    legs_ = arguments_.legs;
    payer_ = arguments_.payer;
    currency_ = arguments_.currency;
    exercise_ = arguments_.exercise;
    settlementType_ = arguments_.settlementType;
    settlementMethod_ = arguments_.settlementMethod;
 
    BlackMultiLegOptionEngineBase::calculate();
 
    results_.value = npv_;
    results_.underlyingNpv = underlyingNpv_;
    results_.additionalResults = additionalResults_;
    results_.additionalResults["underlyingNpv"] = underlyingNpv_;
}

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