Gaussian1d cap/floor engine. More...

#include <gaussian1dcapfloorengine.hpp>

Inheritance diagram for Gaussian1dCapFloorEngine:

Collaboration diagram for Gaussian1dCapFloorEngine:

Public Member Functions
	Gaussian1dCapFloorEngine (const ext::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >())

void	calculate () const override

Public Member Functions inherited from GenericModelEngine< Gaussian1dModel, CapFloor::arguments, CapFloor::results >
	GenericModelEngine (Handle< Gaussian1dModel > model=Handle< Gaussian1dModel >())

	GenericModelEngine (const ext::shared_ptr< Gaussian1dModel > &model)

Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType >
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 ()

Private Attributes
const int	integrationPoints_

const Real	stddevs_

const bool	extrapolatePayoff_

const bool	flatPayoffExtrapolation_

const Handle< YieldTermStructure >	discountCurve_

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

Protected Attributes inherited from GenericModelEngine< Gaussian1dModel, CapFloor::arguments, CapFloor::results >
Handle< Gaussian1dModel >	model_

Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_

ResultsType	results_

Detailed Description

Gaussian1d cap/floor engine.

Definition at line 38 of file gaussian1dcapfloorengine.hpp.

Constructor & Destructor Documentation

◆ Gaussian1dCapFloorEngine()

Gaussian1dCapFloorEngine	(	const ext::shared_ptr< Gaussian1dModel > &	model,
		const int	integrationPoints = `64`,
		const Real	stddevs = `7.0`,
		const bool	extrapolatePayoff = `true`,
		const bool	flatPayoffExtrapolation = `false`,
		Handle< YieldTermStructure >	discountCurve = `Handle<YieldTermStructure>()`
	)