QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | List of all members
ForwardPerformanceVanillaEngine< Engine > Class Template Reference

Forward performance engine for vanilla options More...

#include <ql/pricingengines/forward/forwardperformanceengine.hpp>

+ Inheritance diagram for ForwardPerformanceVanillaEngine< Engine >:

Public Member Functions

 ForwardPerformanceVanillaEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &)
 
void calculate () const
 
- Public Member Functions inherited from ForwardVanillaEngine< Engine >
 ForwardVanillaEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &)
 
- Public Member Functions inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::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 ()
 

Protected Member Functions

void getOriginalResults () const
 
- Protected Member Functions inherited from ForwardVanillaEngine< Engine >
void setup () const
 
void getOriginalResults () const
 

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 ForwardVanillaEngine< Engine >
ext::shared_ptr< GeneralizedBlackScholesProcessprocess_
 
ext::shared_ptr< Engine > originalEngine_
 
VanillaOption::argumentsoriginalArguments_
 
const VanillaOption::results * originalResults_
 
- Protected Attributes inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >
ForwardOptionArguments< VanillaOption::argumentsarguments_
 
VanillaOption::results results_
 

Detailed Description

template<class Engine>
class QuantLib::ForwardPerformanceVanillaEngine< Engine >

Forward performance engine for vanilla options

Tests:
  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.