QuantLib
A free/open-source library for quantitative finance
Fully annotated sources - version 1.22
Classes | Public Member Functions | List of all members
PricingEngine Class Referenceabstract

interface for pricing engines More...

#include <ql/pricingengine.hpp>

+ Inheritance diagram for PricingEngine:
+ Collaboration diagram for PricingEngine:

Classes

class  arguments
 
class  results
 

Public Member Functions

 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Detailed Description

interface for pricing engines

Definition at line 34 of file pricingengine.hpp.

Constructor & Destructor Documentation

◆ ~PricingEngine()

~PricingEngine ( )
overridedefault

Member Function Documentation

◆ getArguments()

virtual arguments* getArguments ( ) const
pure virtual

Implemented in GenericEngine< ArgumentsType, ResultsType >.

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◆ getResults()

virtual const results* getResults ( ) const
pure virtual

◆ reset()

virtual void reset ( )
pure virtual

Implemented in GenericEngine< ArgumentsType, ResultsType >, GenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results >, GenericEngine< EnergyCommodity::arguments, EnergyCommodity::results >, GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results >, GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >, GenericEngine< CPISwap::arguments, CPISwap::results >, GenericEngine< VarianceSwap::arguments, VarianceSwap::results >, GenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results >, GenericEngine< PagodaOption::arguments, PagodaOption::results >, GenericEngine< Arguments, Results >, GenericEngine< MargrabeOption::arguments, MargrabeOption::results >, GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >, GenericEngine< CapFloor::arguments, CapFloor::results >, GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results >, GenericEngine< NonstandardSwap::arguments, NonstandardSwap::results >, GenericEngine< IrregularSwap::arguments, IrregularSwap::results >, GenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results >, GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results >, GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results >, GenericEngine< MultiAssetOption::arguments, MultiAssetOption::results >, GenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results >, GenericEngine< EverestOption::arguments, EverestOption::results >, GenericEngine< SpreadOption::arguments, SpreadOption::results >, GenericEngine< HimalayaOption::arguments, HimalayaOption::results >, GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results >, GenericEngine< CdsOption::arguments, CdsOption::results >, GenericEngine< CompoundOption::arguments, CompoundOption::results >, GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results >, GenericEngine< CliquetOption::arguments, CliquetOption::results >, GenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results >, GenericEngine< NthToDefault::arguments, NthToDefault::results >, GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results >, GenericEngine< OneAssetOption::arguments, OneAssetOption::results >, GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >, GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results >, GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >, GenericEngine< VanillaSwap::arguments, VanillaSwap::results >, GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results >, GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results >, GenericEngine< VarianceOption::arguments, VarianceOption::results >, GenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results >, GenericEngine< CatBond::arguments, CatBond::results >, GenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results >, GenericEngine< Swaption::arguments, Swaption::results >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results >, GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results >, GenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< VanillaOption::arguments, VanillaOption::results >, GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >, GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results >, GenericEngine< Swap::arguments, Swap::results >, GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results >, GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >, GenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results >, GenericEngine< CPICapFloor::arguments, CPICapFloor::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >, and GenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results >.

◆ calculate()

virtual void calculate ( ) const
pure virtual

Implemented in JuQuadraticApproximationEngine, IntegralEngine, HestonExpansionEngine, FdSimpleBSSwingEngine, FdSabrVanillaEngine, FdHestonVanillaEngine, FdHestonHullWhiteVanillaEngine, FdCIRVanillaEngine, FdCEVVanillaEngine, FdBlackScholesVanillaEngine, FdBlackScholesShoutEngine, FdBatesVanillaEngine, ExponentialFittingHestonEngine, COSHestonEngine, BinomialVanillaEngine< T >, BaroneAdesiWhaleyApproximationEngine, AnalyticPTDHestonEngine, AnalyticHestonHullWhiteEngine, AnalyticHestonEngine, AnalyticGJRGARCHEngine, AnalyticBlackVasicekEngine, AnalyticEuropeanEngine, AnalyticDividendEuropeanEngine, AnalyticDigitalAmericanEngine, AnalyticBSMHullWhiteEngine, TreeSwaptionEngine, JamshidianSwaptionEngine, Gaussian1dSwaptionEngine, Gaussian1dNonstandardSwaptionEngine, Gaussian1dJamshidianSwaptionEngine, Gaussian1dFloatFloatSwaptionEngine, G2SwaptionEngine, FdHullWhiteSwaptionEngine, FdG2SwaptionEngine, BlackStyleSwaptionEngine< Spec >, TreeVanillaSwapEngine, DiscountingSwapEngine, CounterpartyAdjSwapEngine, QuantoEngine< Instr, Engine >, MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >, AnalyticContinuousPartialFloatingLookbackEngine, AnalyticContinuousPartialFixedLookbackEngine, AnalyticContinuousFloatingLookbackEngine, AnalyticContinuousFixedLookbackEngine, YoYInflationCapFloorEngine, ReplicatingVarianceSwapEngine, MCVarianceSwapEngine< RNG, S >, MCForwardVanillaEngine< MC, RNG, S >, ForwardPerformanceVanillaEngine< Engine >, ForwardVanillaEngine< Engine >, MidPointCdsEngine, IsdaCdsEngine, IntegralCdsEngine, MCPerformanceEngine< RNG, S >, AnalyticPerformanceEngine, AnalyticCliquetEngine, TreeCapFloorEngine, MCHullWhiteCapFloorEngine< RNG, S >, Gaussian1dCapFloorEngine, BlackCapFloorEngine, BachelierCapFloorEngine, AnalyticCapFloorEngine, DiscountingBondEngine, StulzEngine, MCEuropeanBasketEngine< RNG, S >, KirkEngine, Fd2dBlackScholesVanillaEngine, MCBarrierEngine< RNG, S >, FdHestonRebateEngine, FdHestonBarrierEngine, FdBlackScholesRebateEngine, FdBlackScholesBarrierEngine, BinomialBarrierEngine< T, D >, AnalyticBinaryBarrierEngine, AnalyticBarrierEngine, MCDiscreteAveragingAsianEngineBase< MC, RNG, S >, FdBlackScholesAsianEngine, AnalyticDiscreteGeometricAverageStrikeAsianEngine, AnalyticDiscreteGeometricAveragePriceAsianEngine, AnalyticContinuousGeometricAveragePriceAsianEngine, LfmSwaptionEngine, IntegralHestonVarianceOptionEngine, FFTEngine, HaganIrregularSwaptionEngine, MCPathBasketEngine< RNG, S >, InterpolatingCPICapFloorEngine, AnalyticHestonForwardEuropeanEngine, FdSimpleKlugeExtOUVPPEngine, FdSimpleExtOUStorageEngine, FdSimpleExtOUJumpSwingEngine, FdOrnsteinUhlenbeckVanillaEngine, FdKlugeExtOUSpreadEngine, FdHestonDoubleBarrierEngine, FdExtOUJumpVanillaEngine, DynProgVPPIntrinsicValueEngine, MCPagodaEngine< RNG, S >, MCHimalayaEngine< RNG, S >, MCEverestEngine< RNG, S >, KirkSpreadOptionEngine, ContinuousArithmeticAsianVecerEngine, ContinuousArithmeticAsianLevyEngine, AnalyticWriterExtensibleOptionEngine, AnalyticTwoAssetCorrelationEngine, AnalyticTwoAssetBarrierEngine, AnalyticSimpleChooserEngine, AnalyticPDFHestonEngine, AnalyticPartialTimeBarrierOptionEngine, AnalyticHolderExtensibleOptionEngine, AnalyticEuropeanMargrabeEngine, AnalyticCompoundOptionEngine, AnalyticComplexChooserEngine, AnalyticAmericanMargrabeEngine, MidPointCDOEngine, IntegralNtdEngine, IntegralCDOEngine, BlackCdsOptionEngine, BinomialConvertibleEngine< T >, MonteCarloCatBondEngine, TreeCallableFixedRateBondEngine, WulinYongDoubleBarrierEngine, VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine >, VannaVolgaBarrierEngine, PerturbativeBarrierOptionEngine, MCDoubleBarrierEngine< RNG, S >, BinomialDoubleBarrierEngine< T, D >, AnalyticDoubleBarrierEngine, AnalyticDoubleBarrierBinaryEngine, AnalyticDiscreteGeometricAveragePriceAsianHestonEngine, AnalyticContinuousGeometricAveragePriceAsianHestonEngine, and MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >.