Levy engine for continuously averaged arithmetic Asian options. More...
#include <continuousarithmeticasianlevyengine.hpp>
Inheritance diagram for ContinuousArithmeticAsianLevyEngine:
Collaboration diagram for ContinuousArithmeticAsianLevyEngine:
Public Member Functions | |
| ContinuousArithmeticAsianLevyEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process, Handle< Quote > currentAverage, Date startDate) | |
| void | calculate () const override |
| Public Member Functions inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::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 | |
| ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
| Handle< Quote > | currentAverage_ |
| Date | startDate_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > | |
| ContinuousAveragingAsianOption::arguments | arguments_ |
| ContinuousAveragingAsianOption::results | results_ |
Detailed Description
Levy engine for continuously averaged arithmetic Asian options.
Formulas from Haug, "Option Pricing Formulas".
Definition at line 36 of file continuousarithmeticasianlevyengine.hpp.
Constructor & Destructor Documentation
◆ ContinuousArithmeticAsianLevyEngine()
| ContinuousArithmeticAsianLevyEngine | ( | ext::shared_ptr< GeneralizedBlackScholesProcess > | process, |
| Handle< Quote > | currentAverage, | ||
| Date | startDate | ||
| ) |
Definition at line 30 of file continuousarithmeticasianlevyengine.cpp.
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Member Function Documentation
◆ calculate()
|
overridevirtual |
Implements PricingEngine.
Definition at line 40 of file continuousarithmeticasianlevyengine.cpp.
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Member Data Documentation
◆ process_
|
private |
Definition at line 45 of file continuousarithmeticasianlevyengine.hpp.
◆ currentAverage_
Definition at line 46 of file continuousarithmeticasianlevyengine.hpp.
◆ startDate_
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private |
Definition at line 47 of file continuousarithmeticasianlevyengine.hpp.