Pricing engine for baskets where all underlyings are driven by one stochastic factor. More...

Inheritance diagram for SingleFactorBsmBasketEngine:

Collaboration diagram for SingleFactorBsmBasketEngine:

Public Member Functions
	SingleFactorBsmBasketEngine (std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > > p, Real xTol=1e4 *QL_EPSILON)

void	calculate () const override

Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::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 ()=default

	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 Attributes
const Real	xTol_

const Size	n_

const std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > >	processes_

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

Protected Attributes inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
BasketOption::arguments	arguments_

BasketOption::results	results_

Detailed Description

Pricing engine for baskets where all underlyings are driven by one stochastic factor.

Jaehyuk Choi, Sum of all Black-Scholes-Merton Models: An efficient Pricing Method for Spread, Basket and Asian Options, https://arxiv.org/pdf/1805.03172