Vanna Volga double-barrier option engine. More...
#include <ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp>
Public Member Functions | |
VannaVolgaDoubleBarrierEngine (const Handle< DeltaVolQuote > atmVol, const Handle< DeltaVolQuote > vol25Put, const Handle< DeltaVolQuote > vol25Call, const Handle< Quote > spotFX, const Handle< YieldTermStructure > domesticTS, const Handle< YieldTermStructure > foreignTS, const bool adaptVanDelta=false, const Real bsPriceWithSmile=0.0, int series=5) | |
virtual void | calculate () const |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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DoubleBarrierOption::arguments | arguments_ |
DoubleBarrierOption::results | results_ |
Vanna Volga double-barrier option engine.