BlackCapFloorEngine Class Reference

Black-formula cap/floor engine. More...

#include <blackcapfloorengine.hpp>

Inheritance diagram for BlackCapFloorEngine:

Collaboration diagram for BlackCapFloorEngine:

Public Member Functions
	BlackCapFloorEngine (Handle< YieldTermStructure > discountCurve, Volatility vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)
	BlackCapFloorEngine (Handle< YieldTermStructure > discountCurve, const Handle< Quote > &vol, const DayCounter &dc=Actual365Fixed(), Real displacement=0.0)
	BlackCapFloorEngine (Handle< YieldTermStructure > discountCurve, Handle< OptionletVolatilityStructure > vol, Real displacement=Null< Real >())
void	calculate () const override
Handle< YieldTermStructure >	termStructure ()
Handle< OptionletVolatilityStructure >	volatility ()
Real	displacement () const
Public Member Functions inherited from GenericEngine< CapFloor::arguments, CapFloor::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
Handle< YieldTermStructure >	discountCurve_
Handle< OptionletVolatilityStructure >	vol_
Real	displacement_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericEngine< CapFloor::arguments, CapFloor::results >
CapFloor::arguments	arguments_
CapFloor::results	results_

Detailed Description

Black-formula cap/floor engine.

Definition at line 38 of file blackcapfloorengine.hpp.

Constructor & Destructor Documentation

BlackCapFloorEngine() [1/3]

BlackCapFloorEngine	(	Handle< YieldTermStructure >	discountCurve,
		Volatility	vol,
		const DayCounter &	dc = Actual365Fixed(),
		Real	displacement = 0.0
	)

Definition at line 33 of file blackcapfloorengine.cpp.

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BlackCapFloorEngine() [2/3]

BlackCapFloorEngine	(	Handle< YieldTermStructure >	discountCurve,
		const Handle< Quote > &	vol,
		const DayCounter &	dc = Actual365Fixed(),
		Real	displacement = 0.0
	)

Definition at line 44 of file blackcapfloorengine.cpp.

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BlackCapFloorEngine() [3/3]

BlackCapFloorEngine	(	Handle< YieldTermStructure >	discountCurve,
		Handle< OptionletVolatilityStructure >	vol,
		Real	displacement = Null<Real>()
	)

Definition at line 56 of file blackcapfloorengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 77 of file blackcapfloorengine.cpp.

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termStructure()

Handle< YieldTermStructure > termStructure

(

)

Definition at line 52 of file blackcapfloorengine.hpp.

volatility()

Handle< OptionletVolatilityStructure > volatility

(

)

Definition at line 53 of file blackcapfloorengine.hpp.

displacement()

Real displacement

(

)

const

Definition at line 54 of file blackcapfloorengine.hpp.

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Member Data Documentation

discountCurve_

Handle<YieldTermStructure> discountCurve_

private

Definition at line 57 of file blackcapfloorengine.hpp.

vol_

Handle<OptionletVolatilityStructure> vol_

private

Definition at line 58 of file blackcapfloorengine.hpp.

displacement_

Real displacement_

private

Definition at line 59 of file blackcapfloorengine.hpp.