Forward performance engine for vanilla options More...

#include <forwardperformanceengine.hpp>

Inheritance diagram for ForwardPerformanceVanillaEngine< Engine >:

Collaboration diagram for ForwardPerformanceVanillaEngine< Engine >:

Public Member Functions
	ForwardPerformanceVanillaEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &)

void	calculate () const override

Public Member Functions inherited from ForwardVanillaEngine< Engine >
	ForwardVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)

void	calculate () const override

Public Member Functions inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >
PricingEngine::arguments *	getArguments () const override

const PricingEngine::results *	getResults () const override

void	reset () override

void	update () override

Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default

virtual arguments *	getArguments () const =0

virtual const results *	getResults () const =0

virtual void	reset ()=0

virtual void	calculate () const =0

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Protected Member Functions
void	getOriginalResults () const

Protected Member Functions inherited from ForwardVanillaEngine< Engine >
void	setup () const

void	getOriginalResults () const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from ForwardVanillaEngine< Engine >
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

ext::shared_ptr< Engine >	originalEngine_

VanillaOption::arguments *	originalArguments_

const VanillaOption::results *	originalResults_

Protected Attributes inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >
ForwardOptionArguments< VanillaOption::arguments >	arguments_

VanillaOption::results	results_

Detailed Description

template<class Engine>
class QuantLib::ForwardPerformanceVanillaEngine< Engine >

Forward performance engine for vanilla options

Tests:

the correctness of the returned value is tested by reproducing results available in literature.
the correctness of the returned greeks is tested by reproducing numerical derivatives.

Definition at line 42 of file forwardperformanceengine.hpp.