Posted by
Robert Kubrick on
URL: http://quantlib.414.s1.nabble.com/Caching-the-pricing-engine-tp6574.html
Is there a way to reset the process for the AnalyticEuropeanEngine
without creating a new engine instance every time?
I have the following code:
Date exerciseDate(Day(exercise.day()), Month(exercise.month
().as_enum()), Year(exercise.year()));
shared_ptr<Exercise> pExercise(new EuropeanExercise(exerciseDate));
Handle<Quote> underlyingHndl(shared_ptr<Quote>(new SimpleQuote
(price)));
shared_ptr<StrikedTypePayoff> pPayoff(new PlainVanillaPayoff(side
== CALL ? Option::Call : Option::Put, strike));
Handle<BlackVolTermStructure> flatVolTS
(shared_ptr<BlackVolTermStructure>(new BlackConstantVol(_settlement,
_calendar,
vol,
_dayCounter)));
Handle<YieldTermStructure> _flatTermStructure
(shared_ptr<YieldTermStructure>(new FlatForward(_settlement,
_riskFreeRate,
_dayCounter)));
shared_ptr<BlackScholesProcess> pProcess(new BlackScholesProcess
(underlyingHndl,
_flatTermStructure,
flatVolTS));
EuropeanOption eo(pPayoff, pExercise);
shared_ptr<PricingEngine> pPE(new AnalyticEuropeanEngine(pProcess));
eo.setPricingEngine(pPE);
I would like to cache most of the instances here and change the
contract conditions at runtime to calculate option chains.
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