QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Gaussian1d cap/floor engine. More...
#include <gaussian1dcapfloorengine.hpp>
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 () | |
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_ |
Gaussian1d cap/floor engine.
Definition at line 38 of file gaussian1dcapfloorengine.hpp.
Gaussian1dCapFloorEngine | ( | const ext::shared_ptr< Gaussian1dModel > & | model, |
const int | integrationPoints = 64 , |
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const Real | stddevs = 7.0 , |
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const bool | extrapolatePayoff = true , |
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const bool | flatPayoffExtrapolation = false , |
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Handle< YieldTermStructure > | discountCurve = Handle<YieldTermStructure>() |
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) |
Definition at line 42 of file gaussian1dcapfloorengine.hpp.
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overridevirtual |
Implements PricingEngine.
Definition at line 26 of file gaussian1dcapfloorengine.cpp.
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private |
Definition at line 56 of file gaussian1dcapfloorengine.hpp.
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private |
Definition at line 57 of file gaussian1dcapfloorengine.hpp.
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private |
Definition at line 58 of file gaussian1dcapfloorengine.hpp.
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private |
Definition at line 58 of file gaussian1dcapfloorengine.hpp.
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private |
Definition at line 59 of file gaussian1dcapfloorengine.hpp.