#include <analyticcomplexchooserengine.hpp>
Inheritance diagram for AnalyticComplexChooserEngine:
Collaboration diagram for AnalyticComplexChooserEngine:
Public Member Functions | |
| AnalyticComplexChooserEngine (ext::shared_ptr< GeneralizedBlackScholesProcess > process) | |
| void | calculate () const override |
| Public Member Functions inherited from GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::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 Member Functions | |
| Real | strike (Option::Type optionType) const |
| Time | choosingTime () const |
| Time | putMaturity () const |
| Time | callMaturity () const |
| Volatility | volatility (Time t) const |
| Rate | dividendYield (Time t) const |
| DiscountFactor | dividendDiscount (Time t) const |
| Rate | riskFreeRate (Time t) const |
| DiscountFactor | riskFreeDiscount (Time t) const |
| BlackScholesCalculator | bsCalculator (Real spot, Option::Type optionType) const |
| Real | criticalValue () const |
Private Attributes | |
| ext::shared_ptr< GeneralizedBlackScholesProcess > | process_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results > | |
| ComplexChooserOption::arguments | arguments_ |
| ComplexChooserOption::results | results_ |
Detailed Description
Definition at line 33 of file analyticcomplexchooserengine.hpp.
Constructor & Destructor Documentation
◆ AnalyticComplexChooserEngine()
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explicit |
Definition at line 32 of file analyticcomplexchooserengine.cpp.
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Member Function Documentation
◆ calculate()
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overridevirtual |
Implements PricingEngine.
Definition at line 38 of file analyticcomplexchooserengine.cpp.
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◆ strike()
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private |
Definition at line 142 of file analyticcomplexchooserengine.cpp.
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◆ choosingTime()
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private |
Definition at line 149 of file analyticcomplexchooserengine.cpp.
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◆ putMaturity()
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private |
Definition at line 153 of file analyticcomplexchooserengine.cpp.
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◆ callMaturity()
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private |
Definition at line 157 of file analyticcomplexchooserengine.cpp.
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◆ volatility()
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private |
Definition at line 161 of file analyticcomplexchooserengine.cpp.
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◆ dividendYield()
Definition at line 165 of file analyticcomplexchooserengine.cpp.
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◆ dividendDiscount()
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private |
Definition at line 169 of file analyticcomplexchooserengine.cpp.
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◆ riskFreeRate()
Definition at line 173 of file analyticcomplexchooserengine.cpp.
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◆ riskFreeDiscount()
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private |
Definition at line 177 of file analyticcomplexchooserengine.cpp.
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◆ bsCalculator()
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private |
Definition at line 77 of file analyticcomplexchooserengine.cpp.
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◆ criticalValue()
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private |
Definition at line 108 of file analyticcomplexchooserengine.cpp.
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Member Data Documentation
◆ process_
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private |
Definition at line 40 of file analyticcomplexchooserengine.hpp.