interface for pricing engines More...
#include <pricingengine.hpp>
Inheritance diagram for PricingEngine:
Collaboration diagram for PricingEngine:
Classes | |
| class | arguments |
| class | results |
Public Member Functions | |
| ~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 () |
Detailed Description
interface for pricing engines
Definition at line 34 of file pricingengine.hpp.
Constructor & Destructor Documentation
◆ ~PricingEngine()
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overridedefault |
Member Function Documentation
◆ getArguments()
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pure virtual |
Implemented in GenericEngine< ArgumentsType, ResultsType >, GenericEngine< VanillaOption::arguments, VanillaOption::results >, GenericEngine< CapFloor::arguments, CapFloor::results >, GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CPICapFloor::arguments, CPICapFloor::results >, GenericEngine< CPISwap::arguments, CPISwap::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CatBond::arguments, CatBond::results >, GenericEngine< CdsOption::arguments, CdsOption::results >, GenericEngine< CliquetOption::arguments, CliquetOption::results >, GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results >, GenericEngine< CompoundOption::arguments, CompoundOption::results >, GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >, GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >, GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results >, GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results >, GenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results >, GenericEngine< ConvertibleBond::arguments, ConvertibleBond::results >, GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results >, GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >, GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >, GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results >, GenericEngine< EnergyCommodity::arguments, EnergyCommodity::results >, GenericEngine< EverestOption::arguments, EverestOption::results >, GenericEngine< Swaption::arguments, Swaption::results >, GenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results >, GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results >, GenericEngine< FixedVsFloatingSwap::arguments, FixedVsFloatingSwap::results >, GenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results >, GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >, GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results >, GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results >, GenericEngine< HimalayaOption::arguments, HimalayaOption::results >, GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results >, GenericEngine< IrregularSwap::arguments, IrregularSwap::results >, GenericEngine< Arguments, Results >, GenericEngine< MargrabeOption::arguments, MargrabeOption::results >, GenericEngine< MultiAssetOption::arguments, MultiAssetOption::results >, GenericEngine< NonstandardSwap::arguments, NonstandardSwap::results >, GenericEngine< NthToDefault::arguments, NthToDefault::results >, GenericEngine< OneAssetOption::arguments, OneAssetOption::results >, GenericEngine< PagodaOption::arguments, PagodaOption::results >, GenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results >, GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results >, GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >, GenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results >, GenericEngine< SpreadOption::arguments, SpreadOption::results >, GenericEngine< Swap::arguments, Swap::results >, GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results >, GenericEngine< VanillaSwap::arguments, VanillaSwap::results >, GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results >, GenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results >, GenericEngine< VarianceOption::arguments, VarianceOption::results >, GenericEngine< VarianceSwap::arguments, VarianceSwap::results >, GenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results >, GenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results >, GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results >, and GenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results >.
Here is the caller graph for this function:
◆ getResults()
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pure virtual |
Implemented in GenericEngine< ArgumentsType, ResultsType >, GenericEngine< VanillaOption::arguments, VanillaOption::results >, GenericEngine< CapFloor::arguments, CapFloor::results >, GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CPICapFloor::arguments, CPICapFloor::results >, GenericEngine< CPISwap::arguments, CPISwap::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CatBond::arguments, CatBond::results >, GenericEngine< CdsOption::arguments, CdsOption::results >, GenericEngine< CliquetOption::arguments, CliquetOption::results >, GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results >, GenericEngine< CompoundOption::arguments, CompoundOption::results >, GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >, GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >, GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results >, GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results >, GenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results >, GenericEngine< ConvertibleBond::arguments, ConvertibleBond::results >, GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results >, GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >, GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >, GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results >, GenericEngine< EnergyCommodity::arguments, EnergyCommodity::results >, GenericEngine< EverestOption::arguments, EverestOption::results >, GenericEngine< Swaption::arguments, Swaption::results >, GenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results >, GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results >, GenericEngine< FixedVsFloatingSwap::arguments, FixedVsFloatingSwap::results >, GenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results >, GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >, GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results >, GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results >, GenericEngine< HimalayaOption::arguments, HimalayaOption::results >, GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results >, GenericEngine< IrregularSwap::arguments, IrregularSwap::results >, GenericEngine< Arguments, Results >, GenericEngine< MargrabeOption::arguments, MargrabeOption::results >, GenericEngine< MultiAssetOption::arguments, MultiAssetOption::results >, GenericEngine< NonstandardSwap::arguments, NonstandardSwap::results >, GenericEngine< NthToDefault::arguments, NthToDefault::results >, GenericEngine< OneAssetOption::arguments, OneAssetOption::results >, GenericEngine< PagodaOption::arguments, PagodaOption::results >, GenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results >, GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results >, GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >, GenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results >, GenericEngine< SpreadOption::arguments, SpreadOption::results >, GenericEngine< Swap::arguments, Swap::results >, GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results >, GenericEngine< VanillaSwap::arguments, VanillaSwap::results >, GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results >, GenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results >, GenericEngine< VarianceOption::arguments, VarianceOption::results >, GenericEngine< VarianceSwap::arguments, VarianceSwap::results >, GenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results >, GenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results >, GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results >, and GenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results >.
◆ reset()
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pure virtual |
Implemented in GenericEngine< ArgumentsType, ResultsType >, GenericEngine< VanillaOption::arguments, VanillaOption::results >, GenericEngine< CapFloor::arguments, CapFloor::results >, GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CPICapFloor::arguments, CPICapFloor::results >, GenericEngine< CPISwap::arguments, CPISwap::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CatBond::arguments, CatBond::results >, GenericEngine< CdsOption::arguments, CdsOption::results >, GenericEngine< CliquetOption::arguments, CliquetOption::results >, GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results >, GenericEngine< CompoundOption::arguments, CompoundOption::results >, GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >, GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >, GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results >, GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results >, GenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results >, GenericEngine< ConvertibleBond::arguments, ConvertibleBond::results >, GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results >, GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >, GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >, GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results >, GenericEngine< EnergyCommodity::arguments, EnergyCommodity::results >, GenericEngine< EverestOption::arguments, EverestOption::results >, GenericEngine< Swaption::arguments, Swaption::results >, GenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results >, GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results >, GenericEngine< FixedVsFloatingSwap::arguments, FixedVsFloatingSwap::results >, GenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results >, GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >, GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results >, GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results >, GenericEngine< HimalayaOption::arguments, HimalayaOption::results >, GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results >, GenericEngine< IrregularSwap::arguments, IrregularSwap::results >, GenericEngine< Arguments, Results >, GenericEngine< MargrabeOption::arguments, MargrabeOption::results >, GenericEngine< MultiAssetOption::arguments, MultiAssetOption::results >, GenericEngine< NonstandardSwap::arguments, NonstandardSwap::results >, GenericEngine< NthToDefault::arguments, NthToDefault::results >, GenericEngine< OneAssetOption::arguments, OneAssetOption::results >, GenericEngine< PagodaOption::arguments, PagodaOption::results >, GenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results >, GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results >, GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >, GenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results >, GenericEngine< SpreadOption::arguments, SpreadOption::results >, GenericEngine< Swap::arguments, Swap::results >, GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results >, GenericEngine< VanillaSwap::arguments, VanillaSwap::results >, GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results >, GenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results >, GenericEngine< VarianceOption::arguments, VarianceOption::results >, GenericEngine< VarianceSwap::arguments, VarianceSwap::results >, GenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results >, GenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results >, GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results >, and GenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results >.
◆ calculate()
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pure virtual |
Implemented in MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >, MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, PseudoRandom >, AnalyticContinuousGeometricAveragePriceAsianHestonEngine, AnalyticDiscreteGeometricAveragePriceAsianHestonEngine, BinomialDoubleBarrierEngine< T, D >, MCDoubleBarrierEngine< RNG, S >, PerturbativeBarrierOptionEngine, SuoWangDoubleBarrierEngine, VannaVolgaBarrierEngine, VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine >, TreeCallableFixedRateBondEngine, MonteCarloCatBondEngine, BlackCdsOptionEngine, IntegralCDOEngine, IntegralNtdEngine, MidPointCDOEngine, AnalyticHolderExtensibleOptionEngine, AnalyticPartialTimeBarrierOptionEngine, AnalyticPDFHestonEngine, AnalyticTwoAssetBarrierEngine, AnalyticTwoAssetCorrelationEngine, AnalyticWriterExtensibleOptionEngine, ContinuousArithmeticAsianLevyEngine, ContinuousArithmeticAsianVecerEngine, KirkSpreadOptionEngine, MCEverestEngine< RNG, S >, MCHimalayaEngine< RNG, S >, MCPagodaEngine< RNG, S >, DynProgVPPIntrinsicValueEngine, FdExtOUJumpVanillaEngine, FdKlugeExtOUSpreadEngine, FdSimpleExtOUJumpSwingEngine, FdSimpleExtOUStorageEngine, FdSimpleKlugeExtOUVPPEngine, AnalyticHestonForwardEuropeanEngine, InterpolatingCPICapFloorEngine, MCPathBasketEngine< RNG, S >, HaganIrregularSwaptionEngine, VarianceGammaEngine, IntegralHestonVarianceOptionEngine, LfmSwaptionEngine, AnalyticContinuousGeometricAveragePriceAsianEngine, AnalyticDiscreteGeometricAveragePriceAsianEngine, AnalyticDiscreteGeometricAverageStrikeAsianEngine, FdBlackScholesAsianEngine, MCDiscreteAveragingAsianEngineBase< MC, RNG, S >, MCDiscreteAveragingAsianEngineBase< SingleVariate, PseudoRandom, Statistics >, MCDiscreteAveragingAsianEngineBase< MultiVariate, PseudoRandom, Statistics >, TurnbullWakemanAsianEngine, AnalyticBarrierEngine, AnalyticBinaryBarrierEngine, AnalyticDoubleBarrierBinaryEngine, AnalyticDoubleBarrierEngine, BinomialBarrierEngine< T, D >, FdBlackScholesBarrierEngine, FdBlackScholesRebateEngine, FdHestonBarrierEngine, FdHestonDoubleBarrierEngine, FdHestonRebateEngine, MCBarrierEngine< RNG, S >, Fd2dBlackScholesVanillaEngine, KirkEngine, MCEuropeanBasketEngine< RNG, S >, StulzEngine, BinomialConvertibleEngine< T >, DiscountingBondEngine, RiskyBondEngine, AnalyticCapFloorEngine, BachelierCapFloorEngine, BlackCapFloorEngine, Gaussian1dCapFloorEngine, MCHullWhiteCapFloorEngine< RNG, S >, TreeCapFloorEngine, AnalyticCliquetEngine, AnalyticPerformanceEngine, MCPerformanceEngine< RNG, S >, IntegralCdsEngine, IsdaCdsEngine, MidPointCdsEngine, AnalyticAmericanMargrabeEngine, AnalyticComplexChooserEngine, AnalyticCompoundOptionEngine, AnalyticEuropeanMargrabeEngine, AnalyticSimpleChooserEngine, ForwardVanillaEngine< Engine >, ForwardPerformanceVanillaEngine< Engine >, MCForwardVanillaEngine< MC, RNG, S >, MCForwardVanillaEngine< SingleVariate, PseudoRandom, Statistics >, MCForwardVanillaEngine< MultiVariate, PseudoRandom, Statistics >, MCVarianceSwapEngine< RNG, S >, ReplicatingVarianceSwapEngine, YoYInflationCapFloorEngine, AnalyticContinuousFixedLookbackEngine, AnalyticContinuousFloatingLookbackEngine, AnalyticContinuousPartialFixedLookbackEngine, AnalyticContinuousPartialFloatingLookbackEngine, MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >, MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, PseudoRandom >, QuantoEngine< Instr, Engine >, DiscountingSwapEngine, TreeVanillaSwapEngine, BlackStyleSwaptionEngine< Spec >, BlackStyleSwaptionEngine< detail::BachelierSpec >, BlackStyleSwaptionEngine< detail::Black76Spec >, FdG2SwaptionEngine, FdHullWhiteSwaptionEngine, G2SwaptionEngine, Gaussian1dFloatFloatSwaptionEngine, Gaussian1dJamshidianSwaptionEngine, Gaussian1dNonstandardSwaptionEngine, Gaussian1dSwaptionEngine, JamshidianSwaptionEngine, TreeSwaptionEngine, AnalyticBSMHullWhiteEngine, AnalyticGJRGARCHEngine, AnalyticHestonEngine, AnalyticHestonHullWhiteEngine, AnalyticPTDHestonEngine, COSHestonEngine, ExponentialFittingHestonEngine, FdBatesVanillaEngine, FdHestonHullWhiteVanillaEngine, FdHestonVanillaEngine, FdSimpleBSSwingEngine, HestonExpansionEngine, MCAmericanEngine< RNG, S, RNG_Calibration >, and QdPutCallParityEngine.