QuantLib: a free/open-source library for quantitative finance
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genericmodelengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2002, 2003 Ferdinando Ametrano
5 Copyright (C) 2009 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file genericmodelengine.hpp
22 \brief Generic option engine based on a model
23*/
24
25#ifndef quantlib_generic_model_engine_hpp
26#define quantlib_generic_model_engine_hpp
27
28#include <ql/handle.hpp>
29#include <ql/pricingengine.hpp>
30#include <utility>
31
32namespace QuantLib {
33
34 //! Base class for some pricing engine on a particular model
35 /*! Derived engines only need to implement the <tt>calculate()</tt>
36 method
37 */
38 template<class ModelType, class ArgumentsType, class ResultsType>
40 : public GenericEngine<ArgumentsType, ResultsType> {
41 public:
43 : model_(std::move(model)) {
44 this->registerWith(model_);
45 }
46 explicit GenericModelEngine(const ext::shared_ptr<ModelType>& model)
47 : model_(model) {
48 this->registerWith(model_);
49 }
50 protected:
52 };
53
54}
55
56
57#endif
58
template base class for option pricing engines
Base class for some pricing engine on a particular model.
GenericModelEngine(const ext::shared_ptr< ModelType > &model)
GenericModelEngine(Handle< ModelType > model=Handle< ModelType >())
Shared handle to an observable.
Definition: handle.hpp:41
std::pair< iterator, bool > registerWith(const ext::shared_ptr< Observable > &)
Definition: observable.hpp:228
Globally accessible relinkable pointer.
Definition: any.hpp:35
STL namespace.
Base class for pricing engines.