QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <batesengine.hpp>
Public Member Functions | |
BatesDetJumpEngine (const ext::shared_ptr< BatesDetJumpModel > &model, Size integrationOrder=144) | |
BatesDetJumpEngine (const ext::shared_ptr< BatesDetJumpModel > &model, Real relTolerance, Size maxEvaluations) | |
Public Member Functions inherited from BatesEngine | |
BatesEngine (const ext::shared_ptr< BatesModel > &model, Size integrationOrder=144) | |
BatesEngine (const ext::shared_ptr< BatesModel > &model, Real relTolerance, Size maxEvaluations) | |
Public Member Functions inherited from AnalyticHestonEngine | |
AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) | |
AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, Size integrationOrder=144) | |
AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-25, Real alpha=-0.5) | |
void | calculate () const override |
std::complex< Real > | chF (const std::complex< Real > &z, Time t) const |
std::complex< Real > | lnChF (const std::complex< Real > &z, Time t) const |
Size | numberOfEvaluations () const |
Real | priceVanillaPayoff (const ext::shared_ptr< PlainVanillaPayoff > &payoff, const Date &maturity) const |
Real | priceVanillaPayoff (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Time maturity) const |
Public Member Functions inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
GenericModelEngine (Handle< HestonModel > model=Handle< HestonModel >()) | |
GenericModelEngine (const ext::shared_ptr< HestonModel > &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 () |
Protected Member Functions | |
std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const override |
std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const override |
virtual std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const |
Definition at line 118 of file batesengine.hpp.
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explicit |
Definition at line 57 of file batesengine.cpp.
BatesDetJumpEngine | ( | const ext::shared_ptr< BatesDetJumpModel > & | model, |
Real | relTolerance, | ||
Size | maxEvaluations | ||
) |
Definition at line 62 of file batesengine.cpp.
Reimplemented from BatesEngine.
Definition at line 67 of file batesengine.cpp.