QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
VannaVolgaBarrierEngine Class Reference

Vanna Volga barrier option engine. More...

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

+ Inheritance diagram for VannaVolgaBarrierEngine:

Public Member Functions

 VannaVolgaBarrierEngine (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)
 
void calculate () const
 
- Public Member Functions inherited from GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::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 Attributes inherited from GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >
DividendBarrierOption::arguments arguments_
 
DividendBarrierOption::results results_
 

Detailed Description

Vanna Volga barrier option engine.