EquityCliquetOption Class Reference

#include <ored/portfolio/cliquetoption.hpp>

Inheritance diagram for EquityCliquetOption:

Collaboration diagram for EquityCliquetOption:

Public Member Functions
	EquityCliquetOption ()
	EquityCliquetOption (const std::string &tradeType, ore::data::Envelope &env, const QuantLib::ext::shared_ptr< ore::data::Underlying > &underlying, std::string currency, QuantLib::Real notional, std::string longShort, std::string callPut, ore::data::ScheduleData scheduleData, QuantLib::Real moneyness=1.0, QuantLib::Real localCap=QuantLib::Null< QuantLib::Real >(), QuantLib::Real localFloor=QuantLib::Null< QuantLib::Real >(), QuantLib::Real globalCap=QuantLib::Null< QuantLib::Real >(), QuantLib::Real globalFloor=QuantLib::Null< QuantLib::Real >(), QuantLib::Size settlementDays=0, QuantLib::Real premium=0.0, std::string premiumCcy="", std::string premiumPayDate="")
std::map< ore::data::AssetClass, std::set< std::string > >	underlyingIndices (const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceDataManager) const override
	Add underlying Equity names. More...
Public Member Functions inherited from CliquetOption
	CliquetOption (const boost::shared_ptr< PercentageStrikePayoff > &payoff, const boost::shared_ptr< EuropeanExercise > &maturity, const std::set< Date > &valuationDates, const Date &paymentDate, const Real notional, const Position::Type &longShort, const Real localCap=Null< Real >(), const Real localFloor=Null< Real >(), const Real globalCap=Null< Real >(), const Real globalFloor=Null< Real >(), const Real premium=Null< Real >(), const Date &premiumPayDate=Date(), const std::string &premiumCurrency="")
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
const std::set< Date > &	valuationDates () const

Detailed Description

Definition at line 104 of file cliquetoption.hpp.

Constructor & Destructor Documentation

EquityCliquetOption() [1/2]

EquityCliquetOption

(

)

Definition at line 106 of file cliquetoption.hpp.

: CliquetOption("EquityCliquetOption") {}

EquityCliquetOption() [2/2]

EquityCliquetOption	(	const std::string &	tradeType,
		ore::data::Envelope &	env,
		const QuantLib::ext::shared_ptr< ore::data::Underlying > &	underlying,
		std::string	currency,
		QuantLib::Real	notional,
		std::string	longShort,
		std::string	callPut,
		ore::data::ScheduleData	scheduleData,
		QuantLib::Real	moneyness = 1.0,
		QuantLib::Real	localCap = QuantLib::Null<QuantLib::Real>(),
		QuantLib::Real	localFloor = QuantLib::Null<QuantLib::Real>(),
		QuantLib::Real	globalCap = QuantLib::Null<QuantLib::Real>(),
		QuantLib::Real	globalFloor = QuantLib::Null<QuantLib::Real>(),
		QuantLib::Size	settlementDays = 0,
		QuantLib::Real	premium = 0.0,
		std::string	premiumCcy = "",
		std::string	premiumPayDate = ""
	)

Definition at line 107 of file cliquetoption.hpp.

        : CliquetOption(tradeType, env, underlying, currency, notional, longShort, callPut, scheduleData, moneyness,
                        localCap, localFloor, globalCap, globalFloor, settlementDays, premium, premiumCcy,
                        premiumPayDate) {}

Member Function Documentation

underlyingIndices()

std::map< ore::data::AssetClass, std::set< std::string > > underlyingIndices ( const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &  referenceDataManager ) const

override

Add underlying Equity names.

Definition at line 123 of file cliquetoption.hpp.

                                                                                                                     {
        return {{ore::data::AssetClass::EQ, std::set<std::string>({name()})}};
    };