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 boost::shared_ptr< GeneralizedBlackScholesProcess > &)
void	calculate () const
Public Member Functions inherited from ForwardVanillaEngine< Engine >
	ForwardVanillaEngine (const boost::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 Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()

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

Additional Inherited Members
Protected Attributes inherited from ForwardVanillaEngine< Engine >
boost::shared_ptr < GeneralizedBlackScholesProcess >	process_
boost::shared_ptr< Engine >	originalEngine_
VanillaOption::arguments *	originalArguments_
const VanillaOption::results *	originalResults_

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.