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QuantLib::PerturbativeBarrierOptionEngine Class Reference

#include <perturbativebarrieroptionengine.hpp>

Inheritance diagram for QuantLib::PerturbativeBarrierOptionEngine:

QuantLib::BarrierOption::engine QuantLib::GenericEngine< ArgumentsType, ResultsType > QuantLib::PricingEngine QuantLib::Observer QuantLib::Observable

List of all members.


Detailed Description

perturbative barrier-option engine

This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w3/>.

Definition at line 38 of file perturbativebarrieroptionengine.hpp.


Public Member Functions

void calculate () const
PricingEngine::arguments * getArguments () const
const PricingEngine::results * getResults () const
void notifyObservers ()
 PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false)
void registerWith (const boost::shared_ptr< Observable > &)
void reset ()
void unregisterWith (const boost::shared_ptr< Observable > &)
void update ()

Protected Member Functions

bool triggered (Real underlying) const

Protected Attributes

ArgumentsType arguments_
ResultsType results_

Private Attributes

Natural order_
boost::shared_ptr
< GeneralizedBlackScholesProcess
process_
bool zeroGamma_

The documentation for this class was generated from the following files:

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