Analytic engine for cap/floor. More...

#include <analyticcapfloorengine.hpp>

Inheritance diagram for AnalyticCapFloorEngine:

Collaboration diagram for AnalyticCapFloorEngine:

Public Member Functions
	AnalyticCapFloorEngine (const ext::shared_ptr< AffineModel > &model, Handle< YieldTermStructure > termStructure=Handle< YieldTermStructure >())

void	calculate () const override

Public Member Functions inherited from GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >
	GenericModelEngine (Handle< AffineModel > model=Handle< AffineModel >())

	GenericModelEngine (const ext::shared_ptr< AffineModel > &model)

Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType >
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 Attributes
Handle< YieldTermStructure >	termStructure_

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

Protected Attributes inherited from GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results >
Handle< AffineModel >	model_

Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_

ResultsType	results_

Detailed Description

Analytic engine for cap/floor.

Definition at line 35 of file analyticcapfloorengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticCapFloorEngine()

AnalyticCapFloorEngine	(	const ext::shared_ptr< AffineModel > &	model,
		Handle< YieldTermStructure >	termStructure = `Handle<YieldTermStructure>()`
	)

Note: the term structure is only needed when the short-rate model cannot provide one itself.

Definition at line 26 of file analyticcapfloorengine.cpp.

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Member Function Documentation

◆ calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 34 of file analyticcapfloorengine.cpp.

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Member Data Documentation

◆ termStructure_

Handle<YieldTermStructure> termStructure_

private

Definition at line 49 of file analyticcapfloorengine.hpp.

Public Member Functions

Private Attributes