KirkSpreadOptionEngine Class Reference

#include <kirkspreadoptionengine.hpp>

Inheritance diagram for KirkSpreadOptionEngine:

Collaboration diagram for KirkSpreadOptionEngine:

Public Member Functions
	KirkSpreadOptionEngine (ext::shared_ptr< BlackProcess > process1, ext::shared_ptr< BlackProcess > process2, Handle< Quote > correlation)
void	calculate () const override
Public Member Functions inherited from GenericEngine< SpreadOption::arguments, SpreadOption::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< BlackProcess >	process1_
ext::shared_ptr< BlackProcess >	process2_
Handle< Quote >	rho_

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

Detailed Description

Deprecated:

Use BasketOption and KirkEngine instead. Deprecated in version 1.37.

Definition at line 37 of file kirkspreadoptionengine.hpp.

Constructor & Destructor Documentation

KirkSpreadOptionEngine()

QL_DEPRECATED_DISABLE_WARNING KirkSpreadOptionEngine	(	ext::shared_ptr< BlackProcess >	process1,
		ext::shared_ptr< BlackProcess >	process2,
		Handle< Quote >	correlation
	)

Definition at line 31 of file kirkspreadoptionengine.cpp.

Here is the call graph for this function:

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 40 of file kirkspreadoptionengine.cpp.

Here is the call graph for this function:

Member Data Documentation

process1_

ext::shared_ptr<BlackProcess> process1_

private

Definition at line 45 of file kirkspreadoptionengine.hpp.

process2_

ext::shared_ptr<BlackProcess> process2_

private

Definition at line 46 of file kirkspreadoptionengine.hpp.

rho_

Handle<Quote> rho_

private

Definition at line 47 of file kirkspreadoptionengine.hpp.