julian::OptionGreeks Class Reference

Interface for OptionGreeks decorator. More...

#include <optionGreeks.hpp>

Inheritance diagram for julian::OptionGreeks:

Public Member Functions
virtual std::map< std::string, double >	getRisks (const SmartPointer< MarketModel > &, const SmartPointer< PricingEngine > &, const SmartPointer< Option > &)=0
	returns the PV and Greek parameter More...
virtual GreeksIntermediateResults	calculateRisks (const SmartPointer< MarketModel > &, const SmartPointer< PricingEngine > &, const SmartPointer< Option > &)=0
	calculates the PV or Greek parameter More...
virtual OptionGreeks *	clone () const
	Virtual copy constructor. More...
virtual	~OptionGreeks ()
	Destructor. More...

Detailed Description

Interface for OptionGreeks decorator.

Constructor & Destructor Documentation

virtual julian::OptionGreeks::~OptionGreeks ( )

inlinevirtual

Destructor.

Member Function Documentation

virtual GreeksIntermediateResults julian::OptionGreeks::calculateRisks ( const SmartPointer< MarketModel > &  , const SmartPointer< PricingEngine > &  , const SmartPointer< Option > &    )

pure virtual

calculates the PV or Greek parameter

Returns

method returns the OptionResults

Implemented in julian::OptionVolga, julian::OptionVanna, julian::OptionGamma, julian::OptionVega, julian::OptionDelta, julian::OptionTheta, julian::OptionPV, and julian::OptionGreeksDecorator.

virtual OptionGreeks* julian::OptionGreeks::clone ( ) const

virtual

Virtual copy constructor.

Reimplemented in julian::OptionGamma, julian::OptionVega, julian::OptionVolga, julian::OptionDelta, julian::OptionVanna, julian::OptionGreeksDecorator, julian::OptionTheta, and julian::OptionPV.

virtual std::map<std::string,double> julian::OptionGreeks::getRisks ( const SmartPointer< MarketModel > &  , const SmartPointer< PricingEngine > &  , const SmartPointer< Option > &    )

pure virtual

returns the PV and Greek parameter

Returns

method returns map with name of Greeks as key and the value of Greeks as value

Implemented in julian::OptionGamma, julian::OptionVega, julian::OptionDelta, julian::OptionVolga, julian::OptionVanna, julian::OptionTheta, julian::OptionGreeksDecorator, and julian::OptionPV.

Examples:

optionPricingExample.cpp.

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The documentation for this class was generated from the following file:

• C:/Unix/home/OEM/jULIAN/src/pricingEngines/optionGreeks/optionGreeks.hpp