Serializable EQ European Barrier Option. More...
#include <ored/portfolio/equityeuropeanbarrieroption.hpp>
Public Member Functions | |
EquityEuropeanBarrierOption () | |
Default constructor. More... | |
EquityEuropeanBarrierOption (Envelope &env, OptionData option, BarrierData barrier, EquityUnderlying equityUnderlying, string currency, TradeStrike strike, double quantity) | |
Constructor. More... | |
void | build (const QuantLib::ext::shared_ptr< EngineFactory > &) override |
Build QuantLib/QuantExt instrument, link pricing engine. More... | |
Inspectors | |
const BarrierData & | barrier () const |
Public Member Functions inherited from EquityOption | |
EquityOption () | |
Default constructor. More... | |
EquityOption (Envelope &env, OptionData option, EquityUnderlying equityUnderlying, string currency, QuantLib::Real quantity, TradeStrike tradeStrike) | |
Constructor. More... | |
void | build (const QuantLib::ext::shared_ptr< EngineFactory > &) override |
Build QuantLib/QuantExt instrument, link pricing engine. More... | |
std::map< AssetClass, std::set< std::string > > | underlyingIndices (const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceDataManager=nullptr) const override |
Add underlying Equity names. More... | |
const string & | equityName () const |
const string & | strikeCurrency () const |
Public Member Functions inherited from VanillaOptionTrade | |
void | build (const QuantLib::ext::shared_ptr< EngineFactory > &) override |
Build QuantLib/QuantExt instrument, link pricing engine. More... | |
void | setNotionalAndCurrencies () |
const OptionData & | option () const |
const string & | asset () const |
const string & | currency () const |
TradeStrike | strike () const |
double | quantity () const |
const QuantLib::Date | forwardDate () const |
const QuantLib::Date | paymentDate () const |
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 |
virtual QuantLib::Real | notional () const |
Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More... | |
virtual string | notionalCurrency () 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... | |
Serialisation | |
BarrierData | barrier_ |
virtual void | fromXML (XMLNode *node) override |
virtual XMLNode * | toXML (XMLDocument &doc) const override |
Additional Inherited Members | |
Protected Member Functions inherited from VanillaOptionTrade | |
VanillaOptionTrade (AssetClass assetClassUnderlying) | |
VanillaOptionTrade (const Envelope &env, AssetClass assetClassUnderlying, OptionData option, string assetName, string currency, double quantity, TradeStrike strike, const QuantLib::ext::shared_ptr< QuantLib::Index > &index=nullptr, const std::string &indexName="", QuantLib::Date forwardDate=QuantLib::Date()) | |
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 EquityOption | |
EquityUnderlying | equityUnderlying_ |
string | strikeCurrency_ |
Protected Attributes inherited from VanillaOptionTrade | |
AssetClass | assetClassUnderlying_ |
OptionData | option_ |
string | assetName_ |
string | currency_ |
Currency | underlyingCurrency_ |
double | quantity_ |
TradeStrike | strike_ |
QuantLib::ext::shared_ptr< QuantLib::Index > | index_ |
An index is needed if the option is to be automatically exercised on expiry. More... | |
std::string | indexName_ |
Hold the external index name if needed e.g. in the case of an FX index. More... | |
QuantLib::Date | expiryDate_ |
Store the option expiry date. More... | |
QuantLib::Date | forwardDate_ |
Store the (optional) forward date. More... | |
QuantLib::Date | paymentDate_ |
Store the (optional) payment date. More... | |
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_ |
Serializable EQ European Barrier Option.
Definition at line 39 of file equityeuropeanbarrieroption.hpp.
Default constructor.
Definition at line 42 of file equityeuropeanbarrieroption.hpp.
EquityEuropeanBarrierOption | ( | Envelope & | env, |
OptionData | option, | ||
BarrierData | barrier, | ||
EquityUnderlying | equityUnderlying, | ||
string | currency, | ||
TradeStrike | strike, | ||
double | quantity | ||
) |
Constructor.
Definition at line 44 of file equityeuropeanbarrieroption.hpp.
|
overridevirtual |
Build QuantLib/QuantExt instrument, link pricing engine.
Implements Trade.
Definition at line 38 of file equityeuropeanbarrieroption.cpp.
const BarrierData & barrier | ( | ) | const |
Definition at line 53 of file equityeuropeanbarrieroption.hpp.
|
overridevirtual |
Reimplemented from EquityOption.
Definition at line 180 of file equityeuropeanbarrieroption.cpp.
|
overridevirtual |
Reimplemented from EquityOption.
Definition at line 200 of file equityeuropeanbarrieroption.cpp.
|
private |
Definition at line 62 of file equityeuropeanbarrieroption.hpp.