VarianceGammaEngine Class Reference

Variance Gamma Pricing engine for European vanilla options using integral approach. More...

#include <analyticvariancegammaengine.hpp>

Inheritance diagram for VarianceGammaEngine:

Collaboration diagram for VarianceGammaEngine:

Public Member Functions
	VarianceGammaEngine (ext::shared_ptr< VarianceGammaProcess >, Real absoluteError=1e-5)
void	calculate () const override
Public Member Functions inherited from GenericEngine< OneAssetOption::arguments, OneAssetOption::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 ()=default
	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
ext::shared_ptr< VarianceGammaProcess >	process_
Real	absErr_

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

Detailed Description

Variance Gamma Pricing engine for European vanilla options using integral approach.

Tests:

the correctness of the returned values is tested by checking it against known good results.

Definition at line 38 of file analyticvariancegammaengine.hpp.

Constructor & Destructor Documentation

VarianceGammaEngine()

VarianceGammaEngine ( ext::shared_ptr< VarianceGammaProcess >  process, Real  absoluteError = 1e-5  )

explicit

Definition at line 82 of file analyticvariancegammaengine.cpp.

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Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 89 of file analyticvariancegammaengine.cpp.

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Member Data Documentation

process_

ext::shared_ptr<VarianceGammaProcess> process_

private

Definition at line 45 of file analyticvariancegammaengine.hpp.

absErr_

Real absErr_

private

Definition at line 46 of file analyticvariancegammaengine.hpp.