Fully annotated reference manual - version 1.8.12
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European Option Wrapper. More...
#include <ored/portfolio/optionwrapper.hpp>
Inheritance diagram for EuropeanOptionWrapper: Collaboration diagram for EuropeanOptionWrapper:Public Member Functions | |
| EuropeanOptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const QuantLib::Date &exerciseDate, const bool isPhysicalDelivery, const 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 >()) | |
| 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... | |
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 |
European Option Wrapper.
A European Option Wrapper will exercise if the underlying NPV is positive
Definition at line 121 of file optionwrapper.hpp.
| EuropeanOptionWrapper | ( | const QuantLib::ext::shared_ptr< QuantLib::Instrument > & | inst, |
| const bool | isLongOption, | ||
| const QuantLib::Date & | exerciseDate, | ||
| const bool | isPhysicalDelivery, | ||
| const 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>() |
||
| ) |
Definition at line 123 of file optionwrapper.hpp.
|
overridevirtual |
Implements OptionWrapper.
Definition at line 117 of file optionwrapper.cpp.
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