julian::OptionGreeksDecorator Class Reference

Interface for classes decorating Option Greeks. More...

#include <optionGreeksDecorator.hpp>

Inheritance diagram for julian::OptionGreeksDecorator:

Public Member Functions
	OptionGreeksDecorator (SmartPointer< OptionGreeks > risks)
	Constructor. More...
virtual GreeksIntermediateResults	calculateRisks (const SmartPointer< MarketModel > &model, const SmartPointer< PricingEngine > &prizer, const SmartPointer< Option > &option)
	calculates the PV or Greek parameter More...
virtual std::map< std::string, double >	getRisks (const SmartPointer< MarketModel > &model, const SmartPointer< PricingEngine > &prizer, const SmartPointer< Option > &option)
	returns the PV and Greek parameter More...
OptionGreeksDecorator *	clone () const
	Virtual copy constructor. More...
Public Member Functions inherited from julian::OptionGreeks
virtual	~OptionGreeks ()
	Destructor. More...

Private Attributes
SmartPointer< OptionGreeks >	risks_
	Pointer to decorator interface. More...

Detailed Description

Interface for classes decorating Option Greeks.

Constructor & Destructor Documentation

julian::OptionGreeksDecorator::OptionGreeksDecorator ( SmartPointer< OptionGreeks >  risks )

inline

Constructor.

Member Function Documentation

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

inlinevirtual

calculates the PV or Greek parameter

Returns

method returns the OptionResults

Implements julian::OptionGreeks.

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

OptionGreeksDecorator* julian::OptionGreeksDecorator::clone ( ) const

inlinevirtual

Virtual copy constructor.

Reimplemented from julian::OptionGreeks.

Reimplemented in julian::OptionVega, julian::OptionVolga, julian::OptionVanna, and julian::OptionTheta.

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

inlinevirtual

returns the PV and Greek parameter

Returns

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

Implements julian::OptionGreeks.

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

Member Data Documentation

SmartPointer<OptionGreeks> julian::OptionGreeksDecorator::risks_

private

Pointer to decorator interface.

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

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