Bermudan Option Wrapper. More...

#include <ored/portfolio/optionwrapper.hpp>

Inheritance diagram for BermudanOptionWrapper:

Collaboration diagram for BermudanOptionWrapper:

Public Member Functions
	BermudanOptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const std::vector< QuantLib::Date > &exerciseDates, const bool isPhysicalDelivery, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &undInsts, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())

bool	exercise () const override

Public Member Functions inherited from OptionWrapper
	OptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const std::vector< QuantLib::Date > &exerciseDate, const bool isPhysicalDelivery, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &undInst, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())
	Constructor. More...

void	initialise (const std::vector< QuantLib::Date > &dates) override
	Initialise with the given date grid. More...

void	reset () override
	reset is called every time a new path is about to be priced. More...

QuantLib::Real	NPV () const override
	Return the NPV of this instrument. More...

Real	multiplier2 () const override

const std::map< std::string, boost::any > &	additionalResults () const override
	Return the additional results of this instrument. More...

void	updateQlInstruments () override
	call update on enclosed instrument(s) More...

bool	isOption () override
	is it an Option? More...

const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	underlyingInstruments () const
	return the underlying instruments More...

const QuantLib::ext::shared_ptr< QuantLib::Instrument > &	activeUnderlyingInstrument (const bool calculate=false) const

bool	isLong () const
	return true if option is long, false if option is short More...

bool	isExercised () const
	return true if option is exercised More...

bool	isPhysicalDelivery () const
	return true for physical delivery, false for cash settlement More...

Real	underlyingMultiplier () const
	the underlying multiplier More...

const QuantLib::Date &	exerciseDate () const
	the (actual) date the option was exercised More...

void	enableExercise ()
	disable exercise decisions More...

void	disableExercise ()
	enable exercise decisions More...

Public Member Functions inherited from InstrumentWrapper
	InstrumentWrapper ()

	InstrumentWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const Real multiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())

virtual	~InstrumentWrapper ()

virtual void	initialise (const std::vector< QuantLib::Date > &dates)=0
	Initialise with the given date grid. More...

virtual void	reset ()=0
	reset is called every time a new path is about to be priced. More...

virtual QuantLib::Real	NPV () const =0
	Return the NPV of this instrument. More...

virtual const std::map< std::string, boost::any > &	additionalResults () const =0
	Return the additional results of this instrument. More...

QuantLib::Real	additionalInstrumentsNPV () const

virtual void	updateQlInstruments ()
	call update on enclosed instrument(s) More...

virtual bool	isOption ()
	is it an Option? More...

QuantLib::ext::shared_ptr< QuantLib::Instrument >	qlInstrument (const bool calculate=false) const
	Inspectors. More...

Real	multiplier () const

virtual Real	multiplier2 () const

const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	additionalInstruments () const

const std::vector< Real > &	additionalMultipliers () const

boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing. More...

std::size_t	getNumberOfPricings () const
	Get number of pricings. More...

void	resetPricingStats () const
	Reset pricing statistics. More...

Private Member Functions
bool	convertToEuropean () const

QuantLib::ext::shared_ptr< QuantLib::Instrument >	getUnderlying () const

Additional Inherited Members
Protected Member Functions inherited from InstrumentWrapper
Real	getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const

Protected Attributes inherited from OptionWrapper
bool	isLong_

bool	isPhysicalDelivery_

std::vector< QuantLib::Date >	contractExerciseDates_

std::vector< QuantLib::Date >	effectiveExerciseDates_

std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	underlyingInstruments_

QuantLib::ext::shared_ptr< QuantLib::Instrument >	activeUnderlyingInstrument_

Real	undMultiplier_

bool	exercised_

bool	exercisable_

QuantLib::Date	exerciseDate_

Protected Attributes inherited from InstrumentWrapper
QuantLib::ext::shared_ptr< QuantLib::Instrument >	instrument_

Real	multiplier_

std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	additionalInstruments_

std::vector< Real >	additionalMultipliers_

std::size_t	numberOfPricings_ = 0

boost::timer::nanosecond_type	cumulativePricingTime_ = 0

Detailed Description

Bermudan Option Wrapper.

A Bermudan Option Wrapper will exercise when the relevant underlying's NPV exceeds the option NPV. If only one exercise date is remaining, an analytic European pricing engine is used.

Definition at line 167 of file optionwrapper.hpp.

Constructor & Destructor Documentation

◆ BermudanOptionWrapper()

BermudanOptionWrapper	(	const QuantLib::ext::shared_ptr< QuantLib::Instrument > &	inst,
		const bool	isLongOption,
		const std::vector< QuantLib::Date > &	exerciseDates,
		const bool	isPhysicalDelivery,
		const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	undInsts,
		const Real	multiplier = `1.0`,
		const Real	undMultiplier = `1.0`,
		const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	additionalInstruments = `std::vector<QuantLib::ext::shared_ptr<QuantLib::Instrument>>()`,
		const std::vector< Real > &	additionalMultipliers = `std::vector<Real>()`
	)

Definition at line 169 of file optionwrapper.hpp.

        : OptionWrapper(inst, isLongOption, exerciseDates, isPhysicalDelivery, undInsts, multiplier, undMultiplier,
                        additionalInstruments, additionalMultipliers) {
        QL_REQUIRE(exerciseDates.size() == undInsts.size(),
                   "sizes of exercise date and underlying instrument vectors do not match");
    }

Member Function Documentation

◆ exercise()

bool exercise ( ) const

overridevirtual

Implements OptionWrapper.

Definition at line 139 of file optionwrapper.cpp.

                                           {
    if (!exercisable_)
        return false;
 
    // set active underlying instrument
    Date today = Settings::instance().evaluationDate();
    for (Size i = 0; i < effectiveExerciseDates_.size(); ++i) {
        if (today == effectiveExerciseDates_[i]) {
            activeUnderlyingInstrument_ = underlyingInstruments_[i];
            break;
        }
    }
    bool exercise = getTimedNPV(activeUnderlyingInstrument_) * undMultiplier_ > getTimedNPV(instrument_) * multiplier_;
    return exercise;
}

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◆ convertToEuropean()

bool convertToEuropean ( ) const

private

Check if European engine can be used

◆ getUnderlying()

QuantLib::ext::shared_ptr< QuantLib::Instrument > getUnderlying ( ) const