QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
IntegralHestonVarianceOptionEngine Class Reference

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

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

+ Inheritance diagram for IntegralHestonVarianceOptionEngine:

Public Member Functions

 IntegralHestonVarianceOptionEngine (const ext::shared_ptr< HestonProcess > &)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< VarianceOption::arguments, VarianceOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
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/.