FdndimBlackScholesVanillaEngine Class Reference

n-dimensional finite-differences Black Scholes vanilla option engine More...

#include <ql/pricingengines/basket/fdndimblackscholesvanillaengine.hpp>

Inheritance diagram for FdndimBlackScholesVanillaEngine:

Public Member Functions
	FdndimBlackScholesVanillaEngine (std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > > processes, Matrix rho, std::vector< Size > xGrids, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())
	FdndimBlackScholesVanillaEngine (std::vector< ext::shared_ptr< GeneralizedBlackScholesProcess > > processes, Matrix rho, Size xGrid, Size tGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Douglas())
void	calculate () const override
Public Member Functions inherited from GenericEngine< BasketOption::arguments, BasketOption::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const 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	deepUpdate ()

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

Detailed Description

n-dimensional finite-differences Black Scholes vanilla option engine

Tests

the correctness of the returned value is tested by reproducing results available in web/literature and comparison with the PyFENG python package.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.