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

#include <ql/pricingengines/exotic/analyticcomplexchooserengine.hpp>

+ Inheritance diagram for AnalyticComplexChooserEngine:
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Public Member Functions

 AnalyticComplexChooserEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process)
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::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 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< GeneralizedBlackScholesProcessprocess_
 

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.

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Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 38 of file analyticcomplexchooserengine.cpp.

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◆ strike()

Real strike ( Option::Type  optionType) const
private

Definition at line 142 of file analyticcomplexchooserengine.cpp.

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◆ choosingTime()

Time choosingTime ( ) const
private

Definition at line 149 of file analyticcomplexchooserengine.cpp.

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◆ putMaturity()

Time putMaturity ( ) const
private

Definition at line 153 of file analyticcomplexchooserengine.cpp.

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◆ callMaturity()

Time callMaturity ( ) const
private

Definition at line 157 of file analyticcomplexchooserengine.cpp.

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◆ volatility()

Volatility volatility ( Time  t) const
private

Definition at line 161 of file analyticcomplexchooserengine.cpp.

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◆ dividendYield()

Rate dividendYield ( Time  t) const
private

Definition at line 165 of file analyticcomplexchooserengine.cpp.

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◆ dividendDiscount()

DiscountFactor dividendDiscount ( Time  t) const
private

Definition at line 169 of file analyticcomplexchooserengine.cpp.

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◆ riskFreeRate()

Rate riskFreeRate ( Time  t) const
private

Definition at line 173 of file analyticcomplexchooserengine.cpp.

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◆ riskFreeDiscount()

DiscountFactor riskFreeDiscount ( Time  t) const
private

Definition at line 177 of file analyticcomplexchooserengine.cpp.

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◆ bsCalculator()

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

Definition at line 77 of file analyticcomplexchooserengine.cpp.

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◆ criticalValue()

Real criticalValue ( ) const
private

Definition at line 108 of file analyticcomplexchooserengine.cpp.

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Member Data Documentation

◆ process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_
private

Definition at line 40 of file analyticcomplexchooserengine.hpp.