optionPV.hpp

Go to the documentation of this file.

#ifndef JULIAN_OPTIONPV_HPP
#define JULIAN_OPTIONPV_HPP

#include <map>
#include <pricingEngines/optionGreeks/optionGreeks.hpp>

namespace julian {
  class OptionPV: public OptionGreeks {
  public:
    OptionPV() {};
    std::map<std::string,double> getRisks(const SmartPointer<MarketModel>&,
                      const SmartPointer<PricingEngine>&,
                      const SmartPointer<Option>&);
    GreeksIntermediateResults calculateRisks(const SmartPointer<MarketModel>& model,
                     const SmartPointer<PricingEngine>& prizer,
                     const SmartPointer<Option>& option);
    OptionPV* clone() const;
    
    ~OptionPV(){};
};
  
}


#endif