perturbative barrier-option engine More...
#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>
Public Member Functions | |
PerturbativeBarrierOptionEngine (const ext::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false) | |
void | calculate () const |
![]() | |
PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
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 | |
![]() | |
typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
![]() | |
bool | triggered (Real underlying) const |
![]() | |
BarrierOption::arguments | arguments_ |
BarrierOption::results | results_ |
perturbative barrier-option engine
This engine implements the approach described in http://www.econ.univpm.it/recchioni/finance/w3/.