GenericEngine Class Template Reference

template base class for option pricing engines More...

#include <ql/pricingengine.hpp>

Inherits QuantLib::PricingEngine, and QuantLib::Observer.

Inherited by GenericModelEngine< QuantLib::AffineModel, QuantLib::CapFloor::arguments, CapFloor::results >, GenericModelEngine< QuantLib::G2, QuantLib::Swaption::arguments, Swaption::results >, GenericModelEngine< QuantLib::GJRGARCHModel, VanillaOption::arguments, VanillaOption::results >, GenericModelEngine< QuantLib::HestonModel, QuantLib::DividendBarrierOption::arguments, DividendBarrierOption::results >, GenericModelEngine< QuantLib::HestonModel, QuantLib::DividendVanillaOption::arguments, DividendVanillaOption::results >, GenericModelEngine< QuantLib::HestonModel, VanillaOption::arguments, VanillaOption::results >, GenericModelEngine< QuantLib::HullWhite, VanillaOption::arguments, VanillaOption::results >, GenericModelEngine< QuantLib::LiborForwardModel, QuantLib::Swaption::arguments, Swaption::results >, GenericModelEngine< QuantLib::OneFactorAffineModel, QuantLib::Swaption::arguments, Swaption::results >, GenericModelEngine< QuantLib::ShortRateModel, Arguments, Results >, MCLongstaffSchwartzEngine< QuantLib::BasketOption::engine, QuantLib::MultiVariate< RNG >, RNG >, MCLongstaffSchwartzEngine< VanillaOption::engine, QuantLib::SingleVariate< RNG >, RNG, S >, BarrierOption::engine, Bond::engine, CallableBond::engine, CapFloor::engine, CliquetOption::engine, ContinuousAveragingAsianOption::engine, ContinuousFixedLookbackOption::engine, ContinuousFloatingLookbackOption::engine, ConvertibleBond::option::engine, CreditDefaultSwap::engine, DiscreteAveragingAsianOption::engine, DividendBarrierOption::engine, DividendVanillaOption::engine, EnergyCommodity::engine, EverestOption::engine, FdBlackScholesBarrierEngine, FdBlackScholesRebateEngine, FdBlackScholesVanillaEngine, ForwardVanillaEngine, GenericModelEngine, HimalayaOption::engine, MCLongstaffSchwartzEngine, MultiAssetOption::engine, OneAssetOption::engine, PagodaOption::engine, PathMultiAssetOption::engine, QuantoEngine, Swap::engine, Swaption::engine, SyntheticCDO::engine, VanillaSwap::engine, VarianceOption::engine, and VarianceSwap::engine.

List of all members.

Public Member Functions

PricingEngine::arguments * getArguments () const
const PricingEngine::results * getResults () const
void reset ()
void update ()

Protected Attributes

ArgumentsType arguments_
ResultsType results_


Detailed Description

template<class ArgumentsType, class ResultsType>
class QuantLib::GenericEngine< ArgumentsType, ResultsType >

template base class for option pricing engines

Derived engines only need to implement the calculate() method.


Member Function Documentation

void update (  )  [virtual]