Vanna Volga double-barrier option engine. More...

#include <vannavolgadoublebarrierengine.hpp>

Inheritance diagram for VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine >:

Collaboration diagram for VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine >:

Public Member Functions
	VannaVolgaDoubleBarrierEngine (Handle< DeltaVolQuote > atmVol, Handle< DeltaVolQuote > vol25Put, Handle< DeltaVolQuote > vol25Call, Handle< Quote > spotFX, Handle< YieldTermStructure > domesticTS, Handle< YieldTermStructure > foreignTS, const bool adaptVanDelta=false, const Real bsPriceWithSmile=0.0, int series=5)

void	calculate () const override

Public Member Functions inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::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
const Handle< DeltaVolQuote >	atmVol_

const Handle< DeltaVolQuote >	vol25Put_

const Handle< DeltaVolQuote >	vol25Call_

const Time	T_

const Handle< Quote >	spotFX_

const Handle< YieldTermStructure >	domesticTS_

const Handle< YieldTermStructure >	foreignTS_

const bool	adaptVanDelta_

const Real	bsPriceWithSmile_

const int	series_

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

Protected Attributes inherited from GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results >
DoubleBarrierOption::arguments	arguments_

DoubleBarrierOption::results	results_

Detailed Description

template<class DoubleBarrierEngine>
class QuantLib::VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine >

Vanna Volga double-barrier option engine.

Definition at line 48 of file vannavolgadoublebarrierengine.hpp.

Constructor & Destructor Documentation

◆ VannaVolgaDoubleBarrierEngine()

VannaVolgaDoubleBarrierEngine	(	Handle< DeltaVolQuote >	atmVol,
		Handle< DeltaVolQuote >	vol25Put,
		Handle< DeltaVolQuote >	vol25Call,
		Handle< Quote >	spotFX,
		Handle< YieldTermStructure >	domesticTS,
		Handle< YieldTermStructure >	foreignTS,
		const bool	adaptVanDelta = `false`,
		const Real	bsPriceWithSmile = `0.0`,
		int	series = `5`
	)