QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <analyticholderextensibleoptionengine.hpp>
Public Member Functions | |
AnalyticHolderExtensibleOptionEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process) | |
void | calculate () const override |
Public Member Functions inherited from GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::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 () |
Private Member Functions | |
Real | strike () const |
Time | firstExpiryTime () const |
Time | secondExpiryTime () const |
Volatility | volatility () const |
Rate | riskFreeRate () const |
Rate | dividendYield () const |
DiscountFactor | dividendDiscount (Time t) const |
DiscountFactor | riskFreeDiscount (Time t) const |
Real | I1Call () const |
Real | I2Call () const |
Real | I1Put () const |
Real | I2Put () const |
BlackScholesCalculator | bsCalculator (Real spot, Option::Type optionType) const |
Real | M2 (Real a, Real b, Real c, Real d, Real rho) const |
Real | N2 (Real a, Real b) const |
Real | y1 (Option::Type) const |
Real | y2 (Option::Type) const |
Real | z1 () const |
Real | z2 () const |
Private Attributes | |
ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Attributes inherited from GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results > | |
HolderExtensibleOption::arguments | arguments_ |
HolderExtensibleOption::results | results_ |
Definition at line 33 of file analyticholderextensibleoptionengine.hpp.
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explicit |
Definition at line 32 of file analyticholderextensibleoptionengine.cpp.
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overridevirtual |
Implements PricingEngine.
Definition at line 38 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 264 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 271 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 275 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 279 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 282 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 286 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 291 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 295 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 95 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 129 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 166 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 196 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 228 of file analyticholderextensibleoptionengine.cpp.
Definition at line 254 of file analyticholderextensibleoptionengine.cpp.
Definition at line 259 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 299 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 310 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 321 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 331 of file analyticholderextensibleoptionengine.cpp.
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Definition at line 41 of file analyticholderextensibleoptionengine.hpp.