QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Vecer engine for continuous-avaeraging Asian options. More...
#include <continuousarithmeticasianvecerengine.hpp>
Public Member Functions | |
ContinuousArithmeticAsianVecerEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Handle< Quote > currentAverage, Date startDate, Size timeSteps=100, Size assetSteps=100, Real z_min=-1.0, Real z_max=1.0) | |
void | calculate () const override |
Public Member Functions inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::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 () | |
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 | |
Real | cont_strategy (Time t, Time T1, Time T2, Real v, Real r) const |
Private Attributes | |
ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
Handle< Quote > | currentAverage_ |
Date | startDate_ |
Real | z_min_ |
Real | z_max_ |
Size | timeSteps_ |
Size | assetSteps_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Attributes inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > | |
ContinuousAveragingAsianOption::arguments | arguments_ |
ContinuousAveragingAsianOption::results | results_ |
Vecer engine for continuous-avaeraging Asian options.
See http://www.stat.columbia.edu/~vecer/asian-vecer.pdf
Definition at line 34 of file continuousarithmeticasianvecerengine.hpp.
ContinuousArithmeticAsianVecerEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process, |
Handle< Quote > | currentAverage, | ||
Date | startDate, | ||
Size | timeSteps = 100 , |
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Size | assetSteps = 100 , |
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Real | z_min = -1.0 , |
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Real | z_max = 1.0 |
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) |
Definition at line 35 of file continuousarithmeticasianvecerengine.cpp.
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overridevirtual |
Implements PricingEngine.
Definition at line 50 of file continuousarithmeticasianvecerengine.cpp.
Definition at line 210 of file continuousarithmeticasianvecerengine.cpp.
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private |
Definition at line 51 of file continuousarithmeticasianvecerengine.hpp.
Definition at line 52 of file continuousarithmeticasianvecerengine.hpp.
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private |
Definition at line 53 of file continuousarithmeticasianvecerengine.hpp.
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private |
Definition at line 54 of file continuousarithmeticasianvecerengine.hpp.
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private |
Definition at line 55 of file continuousarithmeticasianvecerengine.hpp.
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private |
Definition at line 56 of file continuousarithmeticasianvecerengine.hpp.
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private |
Definition at line 57 of file continuousarithmeticasianvecerengine.hpp.