AnalyticComplexChooserEngine Class Reference

#include <analyticcomplexchooserengine.hpp>

Inheritance diagram for AnalyticComplexChooserEngine:

Collaboration diagram for AnalyticComplexChooserEngine:

Public Member Functions
	AnalyticComplexChooserEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
void	calculate () const override
Public Member Functions inherited from GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::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 Member Functions
Real	strike (Option::Type optionType) const
Time	choosingTime () const
Time	putMaturity () const
Time	callMaturity () const
Volatility	volatility (Time t) const
Rate	dividendYield (Time t) const
DiscountFactor	dividendDiscount (Time t) const
Rate	riskFreeRate (Time t) const
DiscountFactor	riskFreeDiscount (Time t) const
BlackScholesCalculator	bsCalculator (Real spot, Option::Type optionType) const
Real	criticalValue () const

Private Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results >
ComplexChooserOption::arguments	arguments_
ComplexChooserOption::results	results_

Detailed Description

Definition at line 33 of file analyticcomplexchooserengine.hpp.

Constructor & Destructor Documentation

AnalyticComplexChooserEngine()

AnalyticComplexChooserEngine ( ext::shared_ptr< GeneralizedBlackScholesProcess >  process )

explicit

Definition at line 32 of file analyticcomplexchooserengine.cpp.

Here is the call graph for this function:

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 38 of file analyticcomplexchooserengine.cpp.

Here is the call graph for this function:

strike()

Real strike ( Option::Type  optionType ) const

private

Definition at line 142 of file analyticcomplexchooserengine.cpp.

Here is the caller graph for this function:

choosingTime()

Time choosingTime ( ) const

private

Definition at line 149 of file analyticcomplexchooserengine.cpp.

Here is the caller graph for this function:

putMaturity()

Time putMaturity ( ) const

private

Definition at line 153 of file analyticcomplexchooserengine.cpp.

Here is the caller graph for this function:

callMaturity()

Time callMaturity ( ) const

private

Definition at line 157 of file analyticcomplexchooserengine.cpp.

Here is the caller graph for this function:

volatility()

Volatility volatility ( Time  t ) const

private

Definition at line 161 of file analyticcomplexchooserengine.cpp.

Here is the caller graph for this function:

dividendYield()

Rate dividendYield ( Time  t ) const

private

Definition at line 165 of file analyticcomplexchooserengine.cpp.

Here is the caller graph for this function:

dividendDiscount()

DiscountFactor dividendDiscount ( Time  t ) const

private

Definition at line 169 of file analyticcomplexchooserengine.cpp.

Here is the caller graph for this function:

riskFreeRate()

Rate riskFreeRate ( Time  t ) const

private

Definition at line 173 of file analyticcomplexchooserengine.cpp.

Here is the caller graph for this function:

riskFreeDiscount()

DiscountFactor riskFreeDiscount ( Time  t ) const

private

Definition at line 177 of file analyticcomplexchooserengine.cpp.

Here is the caller graph for this function:

bsCalculator()

BlackScholesCalculator bsCalculator ( Real  spot, Option::Type  optionType  ) const

private

Definition at line 77 of file analyticcomplexchooserengine.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

criticalValue()

Real criticalValue ( ) const

private

Definition at line 108 of file analyticcomplexchooserengine.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

private

Definition at line 40 of file analyticcomplexchooserengine.hpp.