MarketQuotedOptionPricer Class Reference

#include <conundrumpricer.hpp>

Inheritance diagram for MarketQuotedOptionPricer:

Collaboration diagram for MarketQuotedOptionPricer:

Public Member Functions
	MarketQuotedOptionPricer (Rate forwardValue, Date expiryDate, const Period &swapTenor, const ext::shared_ptr< SwaptionVolatilityStructure > &volatilityStructure)
Real	operator() (Real strike, Option::Type optionType, Real deflator) const override
Public Member Functions inherited from VanillaOptionPricer
virtual	~VanillaOptionPricer ()=default
virtual Real	operator() (Real strike, Option::Type optionType, Real deflator) const =0

Private Attributes
Rate	forwardValue_
Date	expiryDate_
Period	swapTenor_
ext::shared_ptr< SwaptionVolatilityStructure >	volatilityStructure_
ext::shared_ptr< SmileSection >	smile_

Detailed Description

Definition at line 45 of file conundrumpricer.hpp.

Constructor & Destructor Documentation

MarketQuotedOptionPricer()

MarketQuotedOptionPricer	(	Rate	forwardValue,
		Date	expiryDate,
		const Period &	swapTenor,
		const ext::shared_ptr< SwaptionVolatilityStructure > &	volatilityStructure
	)

Definition at line 47 of file conundrumpricer.cpp.

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Member Function Documentation

operator()()

Real operator() ( Real  strike, Option::Type  optionType, Real  deflator  ) const

overridevirtual

Implements VanillaOptionPricer.

Definition at line 61 of file conundrumpricer.cpp.

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Member Data Documentation

forwardValue_

Rate forwardValue_

private

Definition at line 57 of file conundrumpricer.hpp.

expiryDate_

Date expiryDate_

private

Definition at line 58 of file conundrumpricer.hpp.

swapTenor_

Period swapTenor_

private

Definition at line 59 of file conundrumpricer.hpp.

volatilityStructure_

ext::shared_ptr<SwaptionVolatilityStructure> volatilityStructure_

private

Definition at line 60 of file conundrumpricer.hpp.

smile_

ext::shared_ptr<SmileSection> smile_

private

Definition at line 61 of file conundrumpricer.hpp.