IntegralHestonVarianceOptionEngine Class Reference

integral Heston-model variance-option engine More...

#include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp>

Inheritance diagram for IntegralHestonVarianceOptionEngine:

Public Member Functions
	IntegralHestonVarianceOptionEngine (ext::shared_ptr< HestonProcess >)
void	calculate () const override
Public Member Functions inherited from GenericEngine< VarianceOption::arguments, VarianceOption::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< VarianceOption::arguments, VarianceOption::results >
VarianceOption::arguments	arguments_
VarianceOption::results	results_

Detailed Description

integral Heston-model variance-option engine

This engine implements the approach described in http://www.econ.univpm.it/recchioni/finance/w4/.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.