Vanna/Volga barrier option engine. More...

#include <vannavolgabarrierengine.hpp>

Inheritance diagram for VannaVolgaBarrierEngine:

Collaboration diagram for VannaVolgaBarrierEngine:

Public Member Functions
	VannaVolgaBarrierEngine (Handle< DeltaVolQuote > atmVol, Handle< DeltaVolQuote > vol25Put, Handle< DeltaVolQuote > vol25Call, Handle< Quote > spotFX, Handle< YieldTermStructure > domesticTS, Handle< YieldTermStructure > foreignTS, bool adaptVanDelta=false, Real bsPriceWithSmile=0.0)

void	calculate () const override

Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::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 ()

Private Attributes
const Handle< DeltaVolQuote >	atmVol_

const Handle< DeltaVolQuote >	vol25Put_

const Handle< DeltaVolQuote >	vol25Call_

const Time	T_

const Handle< Quote >	spotFX_

const Handle< YieldTermStructure >	domesticTS_

const Handle< YieldTermStructure >	foreignTS_

const bool	adaptVanDelta_

const Real	bsPriceWithSmile_

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

Protected Member Functions inherited from BarrierOption::engine
bool	triggered (Real underlying) const

Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
BarrierOption::arguments	arguments_

BarrierOption::results	results_

Detailed Description

Vanna/Volga barrier option engine.

Definition at line 37 of file vannavolgabarrierengine.hpp.

Constructor & Destructor Documentation

◆ VannaVolgaBarrierEngine()

VannaVolgaBarrierEngine	(	Handle< DeltaVolQuote >	atmVol,
		Handle< DeltaVolQuote >	vol25Put,
		Handle< DeltaVolQuote >	vol25Call,
		Handle< Quote >	spotFX,
		Handle< YieldTermStructure >	domesticTS,
		Handle< YieldTermStructure >	foreignTS,
		bool	adaptVanDelta = `false`,
		Real	bsPriceWithSmile = `0.0`
	)