ForwardVanillaEngine< Engine > Class Template Reference

Forward engine for vanilla options More...

#include <forwardengine.hpp>

Inheritance diagram for ForwardVanillaEngine< Engine >:

Collaboration diagram for ForwardVanillaEngine< Engine >:

Public Member Functions
	ForwardVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)
void	calculate () const override
Public Member Functions inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::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 ()

Protected Member Functions
void	setup () const
void	getOriginalResults () const

Protected Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
ext::shared_ptr< Engine >	originalEngine_
VanillaOption::arguments *	originalArguments_
const VanillaOption::results *	originalResults_
Protected Attributes inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >
ForwardOptionArguments< VanillaOption::arguments >	arguments_
VanillaOption::results	results_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

template<class Engine>
class QuantLib::ForwardVanillaEngine< Engine >

Forward engine for vanilla options

Tests:

• the correctness of the returned value is tested by reproducing results available in literature.
• the correctness of the returned greeks is tested by reproducing numerical derivatives.

Definition at line 49 of file forwardengine.hpp.

Constructor & Destructor Documentation

ForwardVanillaEngine()

ForwardVanillaEngine

(

ext::shared_ptr< GeneralizedBlackScholesProcess >

process

)

Definition at line 69 of file forwardengine.hpp.

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Member Function Documentation

calculate()

void calculate

overridevirtual

Implements PricingEngine.

Reimplemented in ForwardPerformanceVanillaEngine< Engine >.

Definition at line 136 of file forwardengine.hpp.

setup()

void setup

protected

Definition at line 77 of file forwardengine.hpp.

getOriginalResults()

void getOriginalResults

protected

Definition at line 143 of file forwardengine.hpp.

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Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

protected

Definition at line 59 of file forwardengine.hpp.

originalEngine_

ext::shared_ptr<Engine> originalEngine_

mutableprotected

Definition at line 60 of file forwardengine.hpp.

originalArguments_

VanillaOption::arguments* originalArguments_

mutableprotected

Definition at line 61 of file forwardengine.hpp.

originalResults_

const VanillaOption::results* originalResults_

mutableprotected

Definition at line 62 of file forwardengine.hpp.