NumericHaganPricer::ConundrumIntegrand Class Reference

#include <ql/cashflows/conundrumpricer.hpp>

Inheritance diagram for NumericHaganPricer::ConundrumIntegrand:

Collaboration diagram for NumericHaganPricer::ConundrumIntegrand:

Public Member Functions
	ConundrumIntegrand (ext::shared_ptr< VanillaOptionPricer > o, const ext::shared_ptr< YieldTermStructure > &rateCurve, ext::shared_ptr< GFunction > gFunction, Date fixingDate, Date paymentDate, Real annuity, Real forwardValue, Real strike, Option::Type optionType)
Real	operator() (Real x) const override
Public Member Functions inherited from NumericHaganPricer::Function
virtual	~Function ()=default
virtual Real	operator() (Real x) const =0

Protected Member Functions
Real	functionF (Real x) const
Real	firstDerivativeOfF (Real x) const
Real	secondDerivativeOfF (Real x) const
Real	strike () const
Real	annuity () const
Date	fixingDate () const
void	setStrike (Real strike)

Protected Attributes
const ext::shared_ptr< VanillaOptionPricer >	vanillaOptionPricer_
const Real	forwardValue_
const Real	annuity_
const Date	fixingDate_
const Date	paymentDate_
Real	strike_
const Option::Type	optionType_
ext::shared_ptr< GFunction >	gFunction_

Friends
class	NumericHaganPricer

Additional Inherited Members
Public Attributes inherited from NumericHaganPricer::Function
QL_DEPRECATED typedef Real	argument_type
QL_DEPRECATED typedef Real	result_type

Detailed Description

Definition at line 286 of file conundrumpricer.hpp.

Constructor & Destructor Documentation

ConundrumIntegrand()

ConundrumIntegrand	(	ext::shared_ptr< VanillaOptionPricer >	o,
		const ext::shared_ptr< YieldTermStructure > &	rateCurve,
		ext::shared_ptr< GFunction >	gFunction,
		Date	fixingDate,
		Date	paymentDate,
		Real	annuity,
		Real	forwardValue,
		Real	strike,
		Option::Type	optionType
	)

Definition at line 442 of file conundrumpricer.cpp.

Member Function Documentation

operator()()

Real operator() ( Real  x ) const

overridevirtual

Implements NumericHaganPricer::Function.

Definition at line 492 of file conundrumpricer.cpp.

functionF()

Real functionF ( Real  x ) const

protected

Definition at line 472 of file conundrumpricer.cpp.

firstDerivativeOfF()

Real firstDerivativeOfF ( Real  x ) const

protected

Definition at line 478 of file conundrumpricer.cpp.

secondDerivativeOfF()

Real secondDerivativeOfF ( Real  x ) const

protected

Definition at line 485 of file conundrumpricer.cpp.

strike()

Real strike ( ) const

protected

Definition at line 460 of file conundrumpricer.cpp.

annuity()

Real annuity ( ) const

protected

Definition at line 464 of file conundrumpricer.cpp.

fixingDate()

Date fixingDate ( ) const

protected

Definition at line 468 of file conundrumpricer.cpp.

setStrike()

void setStrike ( Real  strike )

protected

Definition at line 456 of file conundrumpricer.cpp.

Friends And Related Function Documentation

NumericHaganPricer

friend class NumericHaganPricer

friend

Definition at line 287 of file conundrumpricer.hpp.

Member Data Documentation

vanillaOptionPricer_

const ext::shared_ptr<VanillaOptionPricer> vanillaOptionPricer_

protected

Definition at line 310 of file conundrumpricer.hpp.

forwardValue_

const Real forwardValue_

protected

Definition at line 311 of file conundrumpricer.hpp.

annuity_

const Real annuity_

protected

Definition at line 311 of file conundrumpricer.hpp.

fixingDate_

const Date fixingDate_

protected

Definition at line 312 of file conundrumpricer.hpp.

paymentDate_

const Date paymentDate_

protected

Definition at line 312 of file conundrumpricer.hpp.

strike_

Real strike_

protected

Definition at line 313 of file conundrumpricer.hpp.

optionType_

const Option::Type optionType_

protected

Definition at line 314 of file conundrumpricer.hpp.

gFunction_

ext::shared_ptr<GFunction> gFunction_

protected

Definition at line 315 of file conundrumpricer.hpp.