Vecer engine for continuous-avaeraging Asian options. More...
#include <ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp>
Public Member Functions | |
ContinuousArithmeticAsianVecerEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Handle< Quote > ¤tAverage, Date startDate, Size timeSteps=100, Size assetSteps=100, Real z_min=-1.0, Real z_max=1.0) | |
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 () |
Protected Member Functions | |
Real | cont_strategy (Time t, Time T1, Time T2, Real v, Real r) const |
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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ContinuousAveragingAsianOption::arguments | arguments_ |
ContinuousAveragingAsianOption::results | results_ |
Vecer engine for continuous-avaeraging Asian options.