PerturbativeBarrierOptionEngine Class Reference

perturbative barrier-option engine More...

#include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp>

Inheritance diagram for PerturbativeBarrierOptionEngine:

Public Member Functions

 PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 

Additional Inherited Members

- Protected Member Functions inherited from BarrierOption::engine
bool triggered (Real underlying) const
 
- Protected Attributes inherited from GenericEngine< BarrierOption::arguments, BarrierOption::results >
BarrierOption::arguments arguments_
 
BarrierOption::results results_
 

Detailed Description

perturbative barrier-option engine

This engine implements the approach described in http://www.econ.univpm.it/recchioni/finance/w3/.

Warning:
This was reported to fail tests on Mac OS X 10.8.4.