Vanna Volga barrier option engine. More...
#include <ql/experimental/barrieroption/vannavolgabarrierengine.hpp>
Inheritance diagram for VannaVolgaBarrierEngine:Public Member Functions | |
| VannaVolgaBarrierEngine (const Handle< DeltaVolQuote > &atmVol, const Handle< DeltaVolQuote > &vol25Put, const Handle< DeltaVolQuote > &vol25Call, const Handle< Quote > &spotFX, const Handle< YieldTermStructure > &domesticTS, const Handle< YieldTermStructure > &foreignTS, bool adaptVanDelta=false, Real bsPriceWithSmile=0.0) | |
| void | calculate () const |
Public Member Functions inherited from GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (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< DividendBarrierOption::arguments, DividendBarrierOption::results > | |
| DividendBarrierOption::arguments | arguments_ |
| DividendBarrierOption::results | results_ |
Vanna Volga barrier option engine.