perturbative barrier-option engine More...
#include <perturbativebarrieroptionengine.hpp>
Inheritance diagram for PerturbativeBarrierOptionEngine:
Collaboration diagram for PerturbativeBarrierOptionEngine:
Public Member Functions | |
| PerturbativeBarrierOptionEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, Natural order=1, bool zeroGamma=false) | |
| void | calculate () const override |
| Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::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 Attributes | |
| ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
| Natural | order_ |
| bool | zeroGamma_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from BarrierOption::engine | |
| bool | triggered (Real underlying) const |
| Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results > | |
| BarrierOption::arguments | arguments_ |
| BarrierOption::results | results_ |
Detailed Description
perturbative barrier-option engine
This engine implements the approach described in http://www.econ.univpm.it/recchioni/finance/w3/.
- Warning:
- This was reported to fail tests on Mac OS X 10.8.4.
Definition at line 40 of file perturbativebarrieroptionengine.hpp.
Constructor & Destructor Documentation
◆ PerturbativeBarrierOptionEngine()
|
explicit |
Definition at line 1510 of file perturbativebarrieroptionengine.cpp.
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Member Function Documentation
◆ calculate()
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overridevirtual |
Implements PricingEngine.
Definition at line 1516 of file perturbativebarrieroptionengine.cpp.
Member Data Documentation
◆ process_
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private |
Definition at line 48 of file perturbativebarrieroptionengine.hpp.
◆ order_
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private |
Definition at line 49 of file perturbativebarrieroptionengine.hpp.
◆ zeroGamma_
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private |
Definition at line 50 of file perturbativebarrieroptionengine.hpp.