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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_analytic_compound_option_engine.html">AnalyticCompoundOptionEngine</a></li>  </ul>
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<a href="#pub-methods">Public Member Functions</a> &#124;
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<p>Pricing engine for compound options using analytical formulae.  
 <a href="class_quant_lib_1_1_analytic_compound_option_engine.html#details">More...</a></p>

<p><code>#include &lt;ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp&gt;</code></p>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a1c7e529e290328f98b52036b3731996d"><td class="memItemLeft" align="right" valign="top"><a id="a1c7e529e290328f98b52036b3731996d"></a>
&#160;</td><td class="memItemRight" valign="bottom"><b>AnalyticCompoundOptionEngine</b> (const ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> &gt; &amp;process)</td></tr>
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void&#160;</td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_generic_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_generic_engine')"><img src="closed.png" alt="-"/>&#160;Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; CompoundOption::arguments, CompoundOption::results &gt;</a></td></tr>
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PricingEngine::arguments *&#160;</td><td class="memItemRight" valign="bottom"><b>getArguments</b> () const</td></tr>
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const PricingEngine::results *&#160;</td><td class="memItemRight" valign="bottom"><b>getResults</b> () const</td></tr>
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void&#160;</td><td class="memItemRight" valign="bottom"><b>reset</b> ()</td></tr>
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<tr class="memitem:acadfc179f7be93951a88d8d9785402d3 inherit pub_methods_class_quant_lib_1_1_pricing_engine"><td class="memItemLeft" align="right" valign="top"><a id="acadfc179f7be93951a88d8d9785402d3"></a>
virtual arguments *&#160;</td><td class="memItemRight" valign="bottom"><b>getArguments</b> () const =0</td></tr>
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virtual const results *&#160;</td><td class="memItemRight" valign="bottom"><b>getResults</b> () const =0</td></tr>
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&#160;</td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &amp;)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/>&#160;Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
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&#160;</td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &amp;)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &amp;&#160;</td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &amp;)</td></tr>
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std::pair&lt; iterator, bool &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &gt; &amp;)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &gt; &amp;)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>&#160;</td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &gt; &amp;)</td></tr>
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void&#160;</td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/>&#160;Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set&lt; ext::shared_ptr&lt; <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &gt; &gt;&#160;</td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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typedef set_type::iterator&#160;</td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_generic_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_generic_engine')"><img src="closed.png" alt="-"/>&#160;Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine&lt; CompoundOption::arguments, CompoundOption::results &gt;</a></td></tr>
<tr class="memitem:afee5e1b26214353757b120d9f5ad2169 inherit pro_attribs_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="afee5e1b26214353757b120d9f5ad2169"></a>
CompoundOption::arguments&#160;</td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
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CompoundOption::results&#160;</td><td class="memItemRight" valign="bottom"><b>results_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Pricing engine for compound options using analytical formulae. </p>
<p>The formulas are taken from "Foreign Exchange Risk", Uwe Wystup, Risk 2002, where closed form <a class="el" href="class_quant_lib_1_1_greeks.html" title="additional option results">Greeks</a> are available. (not available in Haug 2007). Value: Page 84, <a class="el" href="class_quant_lib_1_1_greeks.html" title="additional option results">Greeks</a>: Pages 94-95.</p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000011">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in literature. </dd></dl>
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