Vecer engine for continuous-avaeraging Asian options. More...

Inheritance diagram for ContinuousArithmeticAsianVecerEngine:

Collaboration diagram for ContinuousArithmeticAsianVecerEngine:

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 ()=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 ()

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_

Detailed Description

Vecer engine for continuous-avaeraging Asian options.

Constructor & Destructor Documentation

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`
	)