#include <ored/portfolio/asianoption.hpp>

Inheritance diagram for EquityAsianOption:

Collaboration diagram for EquityAsianOption:

Public Member Functions
	EquityAsianOption ()

	AsianOption (const string &tradeType)

	AsianOption (const Envelope &env, const string &tradeType, const double quantity, const TradeStrike &strike, const OptionData &option, const ScheduleData &observationDates, const QuantLib::ext::shared_ptr< Underlying > &underlying, const Date &settlementDate, const std::string &currency)

Public Member Functions inherited from AsianOption
	AsianOption (const string &tradeType)

	AsianOption (const Envelope &env, const string &tradeType, const double quantity, const TradeStrike &strike, const OptionData &option, const ScheduleData &observationDates, const QuantLib::ext::shared_ptr< Underlying > &underlying, const Date &settlementDate, const std::string &currency)

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override
	Build QuantLib/QuantExt instrument, link pricing engine. More...

QuantLib::Real	notional () const override
	Trade interface. More...

string	notionalCurrency () const override

virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (XMLDocument &doc) const override

const string &	asset () const

const TradeStrike &	strike () const

double	quantity () const

const OptionData &	option () const

const ScheduleData &	observationDates () const

const Date &	settlementDate () const

const string &	payCurrency () const

const string &	indexName () const

const QuantLib::ext::shared_ptr< Underlying > &	underlying () const

std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override

Public Member Functions inherited from Trade
	Trade ()
	Default constructor. More...

	Trade (const string &tradeType, const Envelope &env=Envelope(), const TradeActions &ta=TradeActions())
	Base class constructor. More...

virtual	~Trade ()
	Default destructor. More...

virtual void	build (const QuantLib::ext::shared_ptr< EngineFactory > &)=0

virtual std::map< std::string, RequiredFixings::FixingDates >	fixings (const QuantLib::Date &settlementDate=QuantLib::Date()) const

const RequiredFixings &	requiredFixings () const

virtual std::map< AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const

void	reset ()
	Reset trade, clear all base class data. This does not reset accumulated timings for this trade. More...

void	resetPricingStats (const std::size_t numberOfPricings=0, const boost::timer::nanosecond_type cumulativePricingTime=0)
	Reset accumulated timings to given values. More...

string &	id ()
	Set the trade id. More...

void	setEnvelope (const Envelope &envelope)
	Set the envelope with counterparty and portfolio info. More...

void	setAdditionalData (const std::map< std::string, boost::any > &additionalData)

TradeActions &	tradeActions ()
	Set the trade actions. More...

const string &	id () const

const string &	tradeType () const

const Envelope &	envelope () const

const set< string > &	portfolioIds () const

const TradeActions &	tradeActions () const

const QuantLib::ext::shared_ptr< InstrumentWrapper > &	instrument () const

const std::vector< QuantLib::Leg > &	legs () const

const std::vector< string > &	legCurrencies () const

const std::vector< bool > &	legPayers () const

const string &	npvCurrency () const

const Date &	maturity () const

virtual bool	isExpired (const Date &d)

const string &	issuer () const

template<typename T >
T	additionalDatum (const std::string &tag) const
	returns any additional datum. More...

virtual const std::map< std::string, boost::any > &	additionalData () const
	returns all additional data returned by the trade once built More...

const std::string &	sensitivityTemplate () const

void	validate () const
	Utility to validate that everything that needs to be set in this base class is actually set. More...

virtual bool	hasCashflows () const

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

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

Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()

virtual void	fromXML (XMLNode *node)=0

virtual XMLNode *	toXML (XMLDocument &doc) const =0

void	fromFile (const std::string &filename)

void	toFile (const std::string &filename) const

void	fromXMLString (const std::string &xml)
	Parse from XML string. More...

std::string	toXMLString () const
	Parse from XML string. More...

Additional Inherited Members
Protected Member Functions inherited from AsianOption
void	populateIndexName () const

Protected Member Functions inherited from Trade
Date	addPremiums (std::vector< QuantLib::ext::shared_ptr< Instrument > > &instruments, std::vector< Real > &multipliers, const Real tradeMultiplier, const PremiumData &premiumData, const Real premiumMultiplier, const Currency &tradeCurrency, const QuantLib::ext::shared_ptr< EngineFactory > &factory, const string &configuration)

void	setLegBasedAdditionalData (const Size legNo, Size resultLegId=Null< Size >()) const

void	setSensitivityTemplate (const EngineBuilder &builder)

void	setSensitivityTemplate (const std::string &id)

Protected Attributes inherited from AsianOption
double	quantity_ = 0.0

TradeStrike	tradeStrike_

OptionData	option_

ScheduleData	observationDates_

QuantLib::ext::shared_ptr< Underlying >	underlying_

Date	settlementDate_

string	currency_

string	assetName_

QuantLib::ext::shared_ptr< Trade >	delegatingBuilderTrade_

string	indexName_

Protected Attributes inherited from Trade
string	tradeType_

QuantLib::ext::shared_ptr< InstrumentWrapper >	instrument_

std::vector< QuantLib::Leg >	legs_

std::vector< string >	legCurrencies_

std::vector< bool >	legPayers_

string	npvCurrency_

QuantLib::Real	notional_

string	notionalCurrency_

Date	maturity_

string	issuer_

string	sensitivityTemplate_

bool	sensitivityTemplateSet_ = false

std::size_t	savedNumberOfPricings_ = 0

boost::timer::nanosecond_type	savedCumulativePricingTime_ = 0

RequiredFixings	requiredFixings_

std::map< std::string, boost::any >	additionalData_

Detailed Description

Definition at line 102 of file asianoption.hpp.

Constructor & Destructor Documentation

◆ EquityAsianOption()

EquityAsianOption ( )

Definition at line 104 of file asianoption.hpp.

104: AsianOption("EquityAsianOption") {}

ore::data::EquityAsianOption::AsianOption

AsianOption(const string &tradeType)

Definition: asianoption.hpp:42

Member Function Documentation

◆ AsianOption() [1/2]

AsianOption ( const string & tradeType )

explicit

Definition at line 42 of file asianoption.hpp.

42: Trade(tradeType) {}

ore::data::Trade::Trade

Trade()

Default constructor.

Definition: trade.hpp:59

ore::data::Trade::tradeType

const string & tradeType() const

Definition: trade.hpp:133

◆ AsianOption() [2/2]

AsianOption	(	const Envelope &	env,
		const string &	tradeType,
		const double	quantity,
		const TradeStrike &	strike,
		const OptionData &	option,
		const ScheduleData &	observationDates,
		const QuantLib::ext::shared_ptr< Underlying > &	underlying,
		const Date &	settlementDate,
		const std::string &	currency
	)

Definition at line 43 of file asianoption.hpp.

        : Trade(tradeType, env), quantity_(quantity), tradeStrike_(strike), option_(option),
          observationDates_(observationDates), underlying_(underlying), settlementDate_(settlementDate),
          currency_(currency) {}