QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
AnalyticTwoAssetCorrelationEngine Class Reference

Analytic two-asset correlation option engine. More...

#include <ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp>

+ Inheritance diagram for AnalyticTwoAssetCorrelationEngine:
+ Collaboration diagram for AnalyticTwoAssetCorrelationEngine:

Public Member Functions

 AnalyticTwoAssetCorrelationEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > p1, ext::shared_ptr< GeneralizedBlackScholesProcess > p2, Handle< Quote > correlation)
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~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 &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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

ext::shared_ptr< GeneralizedBlackScholesProcessp1_
 
ext::shared_ptr< GeneralizedBlackScholesProcessp2_
 
Handle< Quotecorrelation_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from GenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results >
TwoAssetCorrelationOption::arguments arguments_
 
TwoAssetCorrelationOption::results results_
 

Detailed Description

Analytic two-asset correlation option engine.

Definition at line 33 of file analytictwoassetcorrelationengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticTwoAssetCorrelationEngine()

AnalyticTwoAssetCorrelationEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess p1,
ext::shared_ptr< GeneralizedBlackScholesProcess p2,
Handle< Quote correlation 
)

Definition at line 29 of file analytictwoassetcorrelationengine.cpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 39 of file analytictwoassetcorrelationengine.cpp.

Member Data Documentation

◆ p1_

ext::shared_ptr<GeneralizedBlackScholesProcess> p1_
private

Definition at line 42 of file analytictwoassetcorrelationengine.hpp.

◆ p2_

ext::shared_ptr<GeneralizedBlackScholesProcess> p2_
private

Definition at line 43 of file analytictwoassetcorrelationengine.hpp.

◆ correlation_

Handle<Quote> correlation_
private

Definition at line 44 of file analytictwoassetcorrelationengine.hpp.