#include <spreadblackscholesvanillaengine.hpp>
Inheritance diagram for SpreadBlackScholesVanillaEngine:
Collaboration diagram for SpreadBlackScholesVanillaEngine:
Public Member Functions | |
| SpreadBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process1, ext::shared_ptr< GeneralizedBlackScholesProcess > process2, Real correlation) | |
| void | calculate () const override |
| Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::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 ()=default | |
| 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 | |
| virtual Real | calculate (Real f1, Real f2, Real strike, Option::Type optionType, Real variance1, Real variance2, DiscountFactor df) const =0 |
Protected Attributes | |
| const ext::shared_ptr< GeneralizedBlackScholesProcess > | process1_ |
| const ext::shared_ptr< GeneralizedBlackScholesProcess > | process2_ |
| const Real | rho_ |
| Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results > | |
| BasketOption::arguments | arguments_ |
| BasketOption::results | results_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
Detailed Description
Definition at line 32 of file spreadblackscholesvanillaengine.hpp.
Constructor & Destructor Documentation
◆ SpreadBlackScholesVanillaEngine()
| SpreadBlackScholesVanillaEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process1, |
| ext::shared_ptr< GeneralizedBlackScholesProcess > | process2, | ||
| Real | correlation | ||
| ) |
Definition at line 25 of file spreadblackscholesvanillaengine.cpp.
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Member Function Documentation
◆ calculate() [1/2]
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overridevirtual |
Implements PricingEngine.
Definition at line 36 of file spreadblackscholesvanillaengine.cpp.
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◆ calculate() [2/2]
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protectedpure virtual |
Implemented in BjerksundStenslandSpreadEngine, KirkEngine, and OperatorSplittingSpreadEngine.
Member Data Documentation
◆ process1_
|
protected |
Definition at line 46 of file spreadblackscholesvanillaengine.hpp.
◆ process2_
|
protected |
Definition at line 47 of file spreadblackscholesvanillaengine.hpp.
◆ rho_
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protected |
Definition at line 48 of file spreadblackscholesvanillaengine.hpp.