#include <ored/portfolio/europeanoptionbarrier.hpp>

Inheritance diagram for EuropeanOptionBarrier:

Collaboration diagram for EuropeanOptionBarrier:

Public Member Functions
	EuropeanOptionBarrier (const QuantLib::ext::shared_ptr< Conventions > &conventions=nullptr)

	EuropeanOptionBarrier (const Envelope &env, const string &quantity, const string &putCall, const string &longShort, const string &strike, const string &premiumAmount, const string &premiumCurrency, const string &premiumDate, const string &optionExpiry, const QuantLib::ext::shared_ptr< Underlying > &optionUnderlying, const QuantLib::ext::shared_ptr< Underlying > &barrierUnderlying, const string &barrierLevel, const string &barrierType, const string &barrierStyle, const string &settlementDate, const string &payCcy, const ScheduleData &barrierSchedule, const QuantLib::ext::shared_ptr< Conventions > &conventions=nullptr)

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override

void	fromXML (XMLNode *node) override

XMLNode *	toXML (XMLDocument &doc) const override

Public Member Functions inherited from ScriptedTrade
	ScriptedTrade (const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

	ScriptedTrade (const Envelope &env, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters, const std::map< std::string, ScriptedTradeScriptData > &script, const std::string &productTag, const std::string &tradeType="ScriptedTrade")

	ScriptedTrade (const Envelope &env, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters, const std::string &scriptName, const std::string &tradeType="ScriptedTrade")

void	clear ()

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &) override

QuantLib::Real	notional () const override
	Return the current notional in npvCurrency. See individual sub-classes for the precise definition. More...

std::string	notionalCurrency () const override

void	fromXML (XMLNode *node) override

XMLNode *	toXML (ore::data::XMLDocument &doc) const override

void	build (const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const PremiumData &premiumData, const Real premiumMultiplier)

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

virtual void	setIsdaTaxonomyFields ()

const std::vector< ScriptedTradeEventData > &	events () const

const std::vector< ScriptedTradeValueTypeData > &	numbers () const

const std::vector< ScriptedTradeValueTypeData > &	indices () const

const std::vector< ScriptedTradeValueTypeData > &	currencies () const

const std::vector< ScriptedTradeValueTypeData > &	daycounters () const

const std::map< std::string, ScriptedTradeScriptData > &	script () const

const std::string &	productTag () const

const std::string &	scriptName () const

const std::string &	simmProductClass () const

const std::string &	scheduleProductClass () const

const ScriptedTradeScriptData &	script (const std::string &purpose, const bool fallBackOnEmptyPurpose=true) 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

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...

Private Member Functions
void	initIndices ()

Private Attributes
string	quantity_

string	putCall_

string	longShort_

string	strike_

string	premiumAmount_

string	premiumCurrency_

string	premiumDate_

string	optionExpiry_

QuantLib::ext::shared_ptr< Underlying >	optionUnderlying_

QuantLib::ext::shared_ptr< Underlying >	barrierUnderlying_

string	barrierLevel_

string	barrierType_

string	barrierStyle_

ScheduleData	barrierSchedule_

string	settlementDate_

string	payCcy_

Additional Inherited Members
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 ScriptedTrade
std::vector< ScriptedTradeEventData >	events_

std::vector< ScriptedTradeValueTypeData >	numbers_

std::vector< ScriptedTradeValueTypeData >	indices_

std::vector< ScriptedTradeValueTypeData >	currencies_

std::vector< ScriptedTradeValueTypeData >	daycounters_

std::map< std::string, ScriptedTradeScriptData >	script_

std::string	productTag_

std::string	scriptName_

std::string	simmProductClass_

std::string	scheduleProductClass_

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 34 of file europeanoptionbarrier.hpp.

Constructor & Destructor Documentation

◆ EuropeanOptionBarrier() [1/2]

EuropeanOptionBarrier ( const QuantLib::ext::shared_ptr< Conventions > & conventions = nullptr )

explicit

Definition at line 36 of file europeanoptionbarrier.hpp.

37 : ScriptedTrade("EuropeanOptionBarrier") {}

ore::data::ScriptedTrade::ScriptedTrade

ScriptedTrade(const std::string &tradeType="ScriptedTrade", const Envelope &env=Envelope())

Definition: scriptedtrade.hpp:205

◆ EuropeanOptionBarrier() [2/2]

EuropeanOptionBarrier	(	const Envelope &	env,
		const string &	quantity,
		const string &	putCall,
		const string &	longShort,
		const string &	strike,
		const string &	premiumAmount,
		const string &	premiumCurrency,
		const string &	premiumDate,
		const string &	optionExpiry,
		const QuantLib::ext::shared_ptr< Underlying > &	optionUnderlying,
		const QuantLib::ext::shared_ptr< Underlying > &	barrierUnderlying,
		const string &	barrierLevel,
		const string &	barrierType,
		const string &	barrierStyle,
		const string &	settlementDate,
		const string &	payCcy,
		const ScheduleData &	barrierSchedule,
		const QuantLib::ext::shared_ptr< Conventions > &	conventions = `nullptr`
	)

Definition at line 38 of file europeanoptionbarrier.hpp.

        : ScriptedTrade("EuropeanOptionBarrier", env), quantity_(quantity), putCall_(putCall), longShort_(longShort),
          strike_(strike), premiumAmount_(premiumAmount), premiumCurrency_(premiumCurrency), premiumDate_(premiumDate),
          optionExpiry_(optionExpiry), optionUnderlying_(optionUnderlying), barrierUnderlying_(barrierUnderlying),
          barrierLevel_(barrierLevel), barrierType_(barrierType), barrierStyle_(barrierStyle),
          barrierSchedule_(barrierSchedule), settlementDate_(settlementDate), payCcy_(payCcy) {
        initIndices();
    }

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Member Function Documentation

◆ build()

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

overridevirtual

Build QuantLib/QuantExt instrument, link pricing engine. If build() is called multiple times, reset() should be called between these calls.

Implements Trade.

Definition at line 26 of file europeanoptionbarrier.cpp.

                                                                                     {
 
    // set script parameters
 
    clear();
    initIndices();
 
    events_.emplace_back("PremiumDate", premiumDate_);
    events_.emplace_back("OptionExpiry", optionExpiry_);
    events_.emplace_back("SettlementDate", settlementDate_);
    if (barrierStyle_ == "American")
        events_.emplace_back("BarrierSchedule", barrierSchedule_);
    else
        events_.emplace_back("BarrierSchedule", optionExpiry_);
 
    numbers_.emplace_back("Number", "Quantity", quantity_);
    numbers_.emplace_back("Number", "Strike", strike_);
    numbers_.emplace_back("Number", "PremiumAmount", premiumAmount_);
    numbers_.emplace_back("Number", "BarrierLevel", barrierLevel_);
 
    Barrier::Type barrierType = parseBarrierType(barrierType_);
    string barrierTypeVal;
    if (barrierType == Barrier::Type::DownIn)
        barrierTypeVal = "1";
    else if (barrierType == Barrier::Type::UpIn)
        barrierTypeVal = "2";
    else if (barrierType == Barrier::Type::DownOut)
        barrierTypeVal = "3";
    else if (barrierType == Barrier::Type::UpOut)
        barrierTypeVal = "4";
    else
        QL_FAIL("Unknown Barrier Type: " << barrierType);
    numbers_.emplace_back("Number", "BarrierType", barrierTypeVal);
 
    numbers_.emplace_back("Number", "BarrierStyle", barrierStyle_ == "American" ? "1" : "-1");
 
    Option::Type putCall = parseOptionType(putCall_);
    numbers_.emplace_back("Number", "PutCall", putCall == Option::Call ? "1" : "-1");
 
    Position::Type longShort = parsePositionType(longShort_);
    numbers_.emplace_back("Number", "LongShort", longShort == Position::Long ? "1" : "-1");
 
    currencies_.emplace_back("Currency", "PremiumCurrency", premiumCurrency_);
    currencies_.emplace_back("Currency", "PayCcy", payCcy_);
 
    // check underlying types
    QL_REQUIRE(optionUnderlying_->type() == "Equity" || optionUnderlying_->type() == "Commodity" ||
                   optionUnderlying_->type() == "FX" || optionUnderlying_->type() == "InterestRate",
               "Underlying type " << optionUnderlying_->type() << " not supported");
    QL_REQUIRE(barrierUnderlying_->type() == "Equity" || barrierUnderlying_->type() == "Commodity" ||
                   barrierUnderlying_->type() == "FX" || barrierUnderlying_->type() == "InterestRate",
               "Underlying type " << barrierUnderlying_->type() << " not supported");
 
    // set product tag accordingly
    if (optionUnderlying_->type() == "InterestRate" && barrierUnderlying_->type() == "InterestRate")
        productTag_ = "MultiUnderlyingIrOption";
    else if (optionUnderlying_->type() == "InterestRate" || barrierUnderlying_->type() == "InterestRate")
        productTag_ = "IrHybrid({AssetClass})";
    else
        productTag_ = "MultiAssetOption({AssetClass})";
 
    LOG("ProductTag=" << productTag_);
 
    // set script
    script_ = {
        {"",
         ScriptedTradeScriptData(
             "           REQUIRE Quantity >= 0;\n"
             "           REQUIRE PremiumDate <= SettlementDate;\n"
             "           REQUIRE OptionExpiry <= SettlementDate;\n"
             "\n"
             "           NUMBER barrierFixing, finalPrice, exercisePayoff, premium;\n"
             "           NUMBER notKnocked, factor, currentNotional, exerciseProbability;\n"
             "\n"
             "           notKnocked = 1;\n"
             "\n"
             "           IF BarrierStyle == -1 THEN\n"
             "             barrierFixing = BarrierUnderlying(OptionExpiry);\n"
             "             finalPrice = OptionUnderlying(OptionExpiry);\n"
             "\n"
             "             IF {BarrierType == 1 AND barrierFixing <= BarrierLevel}\n"
             "             OR {BarrierType == 2 AND barrierFixing >= BarrierLevel}\n"
             "             OR {BarrierType == 3 AND barrierFixing > BarrierLevel}\n"
             "             OR {BarrierType == 4 AND barrierFixing < BarrierLevel} THEN\n"
             "               exercisePayoff = LOGPAY(LongShort * Quantity * max(0, PutCall * (finalPrice - Strike)),\n"
             "                                       OptionExpiry, SettlementDate, PayCcy, 1, ExercisePayoff);\n"
             "             END;\n"
             "\n"
             "           ELSE\n"
             "             NUMBER d;\n"
             "             FOR d IN (2, SIZE(BarrierSchedule), 1) DO\n"
             "               IF BarrierType == 1 OR BarrierType == 3 THEN\n"
             "                 notKnocked = notKnocked * (1 - BELOWPROB(BarrierUnderlying, BarrierSchedule[d-1],\n"
             "                                                          BarrierSchedule[d], BarrierLevel));\n"
             "               ELSE\n"
             "                 notKnocked = notKnocked * (1 - ABOVEPROB(BarrierUnderlying, BarrierSchedule[d-1],\n"
             "                                                          BarrierSchedule[d], BarrierLevel));\n"
             "               END;\n"
             "             END;\n"
             "\n"
             "             IF BarrierType == 1 OR BarrierType == 2 THEN\n"
             "               factor = 1 - notKnocked;\n"
             "             ELSE\n"
             "               factor = notKnocked;\n"
             "             END;\n"
             "\n"
             "             finalPrice = OptionUnderlying(OptionExpiry);\n"
             "             exercisePayoff = LOGPAY(Quantity * factor * max(0, PutCall * (finalPrice - Strike)),\n"
             "                                     OptionExpiry, SettlementDate, PayCcy, 1, ExercisePayoff);\n"
             "           END;\n"
             "\n"
             "           premium = LOGPAY(Quantity * PremiumAmount, PremiumDate,\n"
             "                            PremiumDate, PremiumCurrency, 0, Premium);\n"
             "\n"
             "           IF exercisePayoff != 0 THEN\n"
             "             exerciseProbability = 1;\n"
             "           END;\n"
             "\n"
             "           currentNotional = Quantity * Strike;"
             "           Option = LongShort * (exercisePayoff - premium);\n",
             //
             "Option",
             {{"ExerciseProbability", "exerciseProbability"},
              {"currentNotional", "currentNotional"},
              {"notionalCurrency", "PayCcy"}},
             {})}};
 
    // build trade
 
    ScriptedTrade::build(factory);
}

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Reimplemented from Trade.

Definition at line 163 of file europeanoptionbarrier.cpp.

                                                 {
    Trade::fromXML(node);
    XMLNode* tradeDataNode = XMLUtils::getChildNode(node, "EuropeanOptionBarrierData");
    QL_REQUIRE(tradeDataNode, "EuropeanOptionBarrierData node not found");
    quantity_ = XMLUtils::getChildValue(tradeDataNode, "Quantity", true);
    putCall_ = XMLUtils::getChildValue(tradeDataNode, "PutCall", true);
    longShort_ = XMLUtils::getChildValue(tradeDataNode, "LongShort", true);
    strike_ = XMLUtils::getChildValue(tradeDataNode, "Strike", true);
    premiumAmount_ = XMLUtils::getChildValue(tradeDataNode, "PremiumAmount", true);
    premiumCurrency_ = XMLUtils::getChildValue(tradeDataNode, "PremiumCurrency", true);
    premiumDate_ = XMLUtils::getChildValue(tradeDataNode, "PremiumDate", true);
    optionExpiry_ = XMLUtils::getChildValue(tradeDataNode, "OptionExpiry", true);
 
    XMLNode* tmp = XMLUtils::getChildNode(tradeDataNode, "OptionUnderlying");
    if (!tmp)
        tmp = XMLUtils::getChildNode(tradeDataNode, "Name");
    UnderlyingBuilder optionUnderlyingBuilder("OptionUnderlying", "Name");
    optionUnderlyingBuilder.fromXML(tmp);
    optionUnderlying_ = optionUnderlyingBuilder.underlying();
 
    tmp = XMLUtils::getChildNode(tradeDataNode, "BarrierUnderlying");
    if (!tmp)
        tmp = XMLUtils::getChildNode(tradeDataNode, "Name");
    UnderlyingBuilder barrierUnderlyingBuilder("BarrierUnderlying", "Name");
    barrierUnderlyingBuilder.fromXML(tmp);
    barrierUnderlying_ = barrierUnderlyingBuilder.underlying();
 
    barrierLevel_ = XMLUtils::getChildValue(tradeDataNode, "BarrierLevel", true);
    barrierType_ = XMLUtils::getChildValue(tradeDataNode, "BarrierType", true);
 
    barrierStyle_ = XMLUtils::getChildValue(tradeDataNode, "BarrierStyle", true);
    QL_REQUIRE(barrierStyle_ == "American" || barrierStyle_ == "European",
               "Barrier style " << barrierStyle_ << " not supported");
    if (barrierStyle_ == "American") {
        QL_REQUIRE(XMLUtils::getChildNode(tradeDataNode, "BarrierSchedule"), "Missing BarrierSchedule node.");
        barrierSchedule_.fromXML(XMLUtils::getChildNode(tradeDataNode, "BarrierSchedule"));
    }
 
    settlementDate_ = XMLUtils::getChildValue(tradeDataNode, "SettlementDate", true);
    payCcy_ = XMLUtils::getChildValue(tradeDataNode, "PayCcy", true);
 
    initIndices();
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

overridevirtual

Reimplemented from Trade.

Definition at line 207 of file europeanoptionbarrier.cpp.

                                                            {
    XMLNode* node = Trade::toXML(doc);
    XMLNode* tradeNode = doc.allocNode("EuropeanOptionBarrierData");
    XMLUtils::appendNode(node, tradeNode);
    XMLUtils::addChild(doc, tradeNode, "Quantity", quantity_);
    XMLUtils::addChild(doc, tradeNode, "PutCall", putCall_);
    XMLUtils::addChild(doc, tradeNode, "LongShort", longShort_);
    XMLUtils::addChild(doc, tradeNode, "Strike", strike_);
    XMLUtils::addChild(doc, tradeNode, "PremiumAmount", premiumAmount_);
    XMLUtils::addChild(doc, tradeNode, "PremiumCurrency", premiumCurrency_);
    XMLUtils::addChild(doc, tradeNode, "PremiumDate", premiumDate_);
    XMLUtils::addChild(doc, tradeNode, "OptionExpiry", optionExpiry_);
    XMLUtils::appendNode(tradeNode, optionUnderlying_->toXML(doc));
    XMLUtils::appendNode(tradeNode, barrierUnderlying_->toXML(doc));
    XMLUtils::addChild(doc, tradeNode, "BarrierLevel", barrierLevel_);
    XMLUtils::addChild(doc, tradeNode, "BarrierType", barrierType_);
    XMLUtils::addChild(doc, tradeNode, "BarrierStyle", barrierStyle_);
    if (barrierStyle_ == "American") {
        XMLNode* tmp = barrierSchedule_.toXML(doc);
        XMLUtils::setNodeName(doc, tmp, "BarrierSchedule");
        XMLUtils::appendNode(tradeNode, tmp);
    }
    XMLUtils::addChild(doc, tradeNode, "SettlementDate", settlementDate_);
    XMLUtils::addChild(doc, tradeNode, "PayCcy", payCcy_);
    return node;
}

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◆ initIndices()

void initIndices ( )

private

Definition at line 158 of file europeanoptionbarrier.cpp.

                                        {
    indices_.emplace_back("Index", "OptionUnderlying", scriptedIndexName(optionUnderlying_));
    indices_.emplace_back("Index", "BarrierUnderlying", scriptedIndexName(barrierUnderlying_));
}

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Member Data Documentation

◆ quantity_

string quantity_

private

Definition at line 59 of file europeanoptionbarrier.hpp.

◆ putCall_

string putCall_

private

Definition at line 59 of file europeanoptionbarrier.hpp.

◆ longShort_

string longShort_

private

Definition at line 59 of file europeanoptionbarrier.hpp.

◆ strike_

string strike_

private

Definition at line 59 of file europeanoptionbarrier.hpp.

◆ premiumAmount_

string premiumAmount_

private

Definition at line 59 of file europeanoptionbarrier.hpp.

◆ premiumCurrency_

string premiumCurrency_

private

Definition at line 59 of file europeanoptionbarrier.hpp.

◆ premiumDate_

string premiumDate_

private

Definition at line 59 of file europeanoptionbarrier.hpp.

◆ optionExpiry_

string optionExpiry_

private

Definition at line 59 of file europeanoptionbarrier.hpp.

◆ optionUnderlying_

QuantLib::ext::shared_ptr<Underlying> optionUnderlying_

private

Definition at line 60 of file europeanoptionbarrier.hpp.

◆ barrierUnderlying_

QuantLib::ext::shared_ptr<Underlying> barrierUnderlying_

private

Definition at line 60 of file europeanoptionbarrier.hpp.

◆ barrierLevel_

string barrierLevel_

private

Definition at line 61 of file europeanoptionbarrier.hpp.

◆ barrierType_

string barrierType_

private

Definition at line 61 of file europeanoptionbarrier.hpp.

◆ barrierStyle_

string barrierStyle_

private

Definition at line 61 of file europeanoptionbarrier.hpp.

◆ barrierSchedule_

ScheduleData barrierSchedule_

private

Definition at line 62 of file europeanoptionbarrier.hpp.

◆ settlementDate_

string settlementDate_

private

Definition at line 63 of file europeanoptionbarrier.hpp.

◆ payCcy_

string payCcy_

private

Definition at line 63 of file europeanoptionbarrier.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EuropeanOptionBarrier() [1/2]

◆ EuropeanOptionBarrier() [2/2]

Member Function Documentation

◆ build()

◆ fromXML()

◆ toXML()

◆ initIndices()

Member Data Documentation

◆ quantity_

◆ putCall_

◆ longShort_

◆ strike_

◆ premiumAmount_

◆ premiumCurrency_

◆ premiumDate_

◆ optionExpiry_

◆ optionUnderlying_

◆ barrierUnderlying_

◆ barrierLevel_

◆ barrierType_

◆ barrierStyle_

◆ barrierSchedule_

◆ settlementDate_

◆ payCcy_