ForwardVanillaEngine< Engine > Class Template Reference

Forward engine for vanilla options More...

#include <ql/pricingengines/forward/forwardengine.hpp>

Inheritance diagram for ForwardVanillaEngine< Engine >:

Public Member Functions
	ForwardVanillaEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >)
void	calculate () const override
Public Member Functions inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::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 ()

Protected Member Functions
void	setup () const
void	getOriginalResults () const

Protected Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
ext::shared_ptr< Engine >	originalEngine_
VanillaOption::arguments *	originalArguments_
const VanillaOption::results *	originalResults_
Protected Attributes inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >
ForwardOptionArguments< VanillaOption::arguments >	arguments_
VanillaOption::results	results_

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

Detailed Description

template<class Engine>
class QuantLib::ForwardVanillaEngine< Engine >

Forward engine for vanilla options

Tests

• the correctness of the returned value is tested by reproducing results available in literature.
• the correctness of the returned greeks is tested by reproducing numerical derivatives.

Member Function Documentation

calculate()

template<class Engine>

void calculate ( ) const

overridevirtual

Implements PricingEngine.