MakeFdBlackScholesVanillaEngine Class Reference

#include <fdblackscholesvanillaengine.hpp>

Collaboration diagram for MakeFdBlackScholesVanillaEngine:

Public Member Functions
	MakeFdBlackScholesVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
MakeFdBlackScholesVanillaEngine &	withQuantoHelper (const ext::shared_ptr< FdmQuantoHelper > &quantoHelper)
MakeFdBlackScholesVanillaEngine &	withTGrid (Size tGrid)
MakeFdBlackScholesVanillaEngine &	withXGrid (Size xGrid)
MakeFdBlackScholesVanillaEngine &	withDampingSteps (Size dampingSteps)
MakeFdBlackScholesVanillaEngine &	withFdmSchemeDesc (const FdmSchemeDesc &schemeDesc)
MakeFdBlackScholesVanillaEngine &	withLocalVol (bool localVol)
MakeFdBlackScholesVanillaEngine &	withIllegalLocalVolOverwrite (Real illegalLocalVolOverwrite)
MakeFdBlackScholesVanillaEngine &	withCashDividends (const std::vector< Date > &dividendDates, const std::vector< Real > &dividendAmounts)
MakeFdBlackScholesVanillaEngine &	withCashDividendModel (FdBlackScholesVanillaEngine::CashDividendModel cashDividendModel)
	operator ext::shared_ptr< PricingEngine > () const

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
DividendSchedule	dividends_
Size	tGrid_ = 100
Size	xGrid_ = 100
Size	dampingSteps_ = 0
ext::shared_ptr< FdmSchemeDesc >	schemeDesc_
bool	localVol_ = false
Real	illegalLocalVolOverwrite_
ext::shared_ptr< FdmQuantoHelper >	quantoHelper_
FdBlackScholesVanillaEngine::CashDividendModel	cashDividendModel_ = FdBlackScholesVanillaEngine::Spot

Detailed Description

Definition at line 107 of file fdblackscholesvanillaengine.hpp.

Constructor & Destructor Documentation

MakeFdBlackScholesVanillaEngine()

MakeFdBlackScholesVanillaEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process )

explicit

Definition at line 213 of file fdblackscholesvanillaengine.cpp.

Member Function Documentation

withQuantoHelper()

MakeFdBlackScholesVanillaEngine & withQuantoHelper

(

const ext::shared_ptr< FdmQuantoHelper > &

quantoHelper

)

Definition at line 220 of file fdblackscholesvanillaengine.cpp.

withTGrid()

MakeFdBlackScholesVanillaEngine & withTGrid

(

Size

tGrid

)

Definition at line 227 of file fdblackscholesvanillaengine.cpp.

withXGrid()

MakeFdBlackScholesVanillaEngine & withXGrid

(

Size

xGrid

)

Definition at line 233 of file fdblackscholesvanillaengine.cpp.

withDampingSteps()

MakeFdBlackScholesVanillaEngine & withDampingSteps

(

Size

dampingSteps

)

Definition at line 239 of file fdblackscholesvanillaengine.cpp.

withFdmSchemeDesc()

MakeFdBlackScholesVanillaEngine & withFdmSchemeDesc

(

const FdmSchemeDesc &

schemeDesc

)

Definition at line 245 of file fdblackscholesvanillaengine.cpp.

withLocalVol()

MakeFdBlackScholesVanillaEngine & withLocalVol

(

bool

localVol

)

Definition at line 252 of file fdblackscholesvanillaengine.cpp.

withIllegalLocalVolOverwrite()

MakeFdBlackScholesVanillaEngine & withIllegalLocalVolOverwrite

(

Real

illegalLocalVolOverwrite

)

Definition at line 258 of file fdblackscholesvanillaengine.cpp.

withCashDividends()

MakeFdBlackScholesVanillaEngine & withCashDividends	(	const std::vector< Date > &	dividendDates,
		const std::vector< Real > &	dividendAmounts
	)

Definition at line 265 of file fdblackscholesvanillaengine.cpp.

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withCashDividendModel()

MakeFdBlackScholesVanillaEngine & withCashDividendModel

(

FdBlackScholesVanillaEngine::CashDividendModel

cashDividendModel

)

Definition at line 273 of file fdblackscholesvanillaengine.cpp.

operator ext::shared_ptr< PricingEngine >()

operator ext::shared_ptr< PricingEngine >

(

)

const

Definition at line 279 of file fdblackscholesvanillaengine.cpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 136 of file fdblackscholesvanillaengine.hpp.

dividends_

DividendSchedule dividends_

private

Definition at line 137 of file fdblackscholesvanillaengine.hpp.

tGrid_

Size tGrid_ = 100

private

Definition at line 138 of file fdblackscholesvanillaengine.hpp.

xGrid_

Size xGrid_ = 100

private

Definition at line 138 of file fdblackscholesvanillaengine.hpp.

dampingSteps_

Size dampingSteps_ = 0

private

Definition at line 138 of file fdblackscholesvanillaengine.hpp.

schemeDesc_

ext::shared_ptr<FdmSchemeDesc> schemeDesc_

private

Definition at line 139 of file fdblackscholesvanillaengine.hpp.

localVol_

bool localVol_ = false

private

Definition at line 140 of file fdblackscholesvanillaengine.hpp.

illegalLocalVolOverwrite_

Real illegalLocalVolOverwrite_

private

Definition at line 141 of file fdblackscholesvanillaengine.hpp.

quantoHelper_

ext::shared_ptr<FdmQuantoHelper> quantoHelper_

private

Definition at line 142 of file fdblackscholesvanillaengine.hpp.

cashDividendModel_

FdBlackScholesVanillaEngine::CashDividendModel cashDividendModel_ = FdBlackScholesVanillaEngine::Spot

private

Definition at line 143 of file fdblackscholesvanillaengine.hpp.