ForwardVanillaEngine< Engine > Class Template Reference

Forward engine for vanilla options More...

#include <ql/pricingengines/forward/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.

Here is the call graph for this function:

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.

Here is the call graph for this function:

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.