julian::AnalyticalPricingEngine Class Reference
analytical pricer More...
#include <analyticalPricingEngine.hpp>
Inheritance diagram for julian::AnalyticalPricingEngine:
Public Member Functions | |
| AnalyticalPricingEngine () | |
| constructor More... | |
| double | prize (const SmartPointer< MarketModel > &, const SmartPointer< Option > &) const |
| prized the option using double dispatch mechanism More... | |
| virtual | ~AnalyticalPricingEngine () |
| destructor More... | |
 Public Member Functions inherited from julian::DeeplyCopyablePricingEngine< AnalyticalPricingEngine > | |
| virtual PricingEngine * | clone () const |
| virtual copy constructor More... | |
| Public Member Functions inherited from julian::PricingEngine | |
| virtual | ~PricingEngine () |
| destructor More... | |
Detailed Description
analytical pricer
Class is just a interface for prizing options with analytical formulas. To effectively implement the analytical prizing the Visitor pattern was used. Visitor pattern is used to emulate double dispatch.Double dispatch is a mechanism that dispatches a function call to different concrete functions depending on the runtime types of two objects involved in the call (in this case Model and Option)
Class AnalyticalPricingEngine provides an interface to proceeds the double dispatch mechanism.
For visitor pattern see Visitor
- Examples:
- optionPricingExample.cpp.
Constructor & Destructor Documentation
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inline |
constructor
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inlinevirtual |
destructor
Member Function Documentation
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virtual |
prized the option using double dispatch mechanism
Implements julian::PricingEngine.
The documentation for this class was generated from the following files:
- C:/Unix/home/OEM/jULIAN/src/pricingEngines/analytical/analyticalPricingEngine.hpp
- C:/Unix/home/OEM/jULIAN/src/pricingEngines/analytical/analyticalPricingEngine.cpp
