Ascot Class Reference

ascot More...

#include <qle/instruments/ascot.hpp>

Inheritance diagram for Ascot:

Collaboration diagram for Ascot:

Classes
class	arguments
class	engine

Public Member Functions
	Ascot (Option::Type callPut, const ext::shared_ptr< Exercise > &exercise, const Real &bondQuantity, const ext::shared_ptr< ConvertibleBond2 > &bond, const Leg &fundingLeg)
const Option::Type	callPut ()
ext::shared_ptr< Exercise >	exercise ()
const Real	bondQuantity ()
const ext::shared_ptr< ConvertibleBond2 > &	underlyingBond () const
const Leg &	fundingLeg () const
bool	isExpired () const override

Protected Member Functions
void	setupArguments (PricingEngine::arguments *) const override

Protected Attributes
Option::Type	callPut_
ext::shared_ptr< Exercise >	exercise_
Real	bondQuantity_
ext::shared_ptr< ConvertibleBond2 >	bond_
Leg	fundingLeg_

Detailed Description

ascot

Definition at line 45 of file ascot.hpp.

Constructor & Destructor Documentation

Ascot()

Ascot	(	Option::Type	callPut,
		const ext::shared_ptr< Exercise > &	exercise,
		const Real &	bondQuantity,
		const ext::shared_ptr< ConvertibleBond2 > &	bond,
		const Leg &	fundingLeg
	)

Definition at line 35 of file ascot.cpp.

    : callPut_(callPut), exercise_(exercise), bondQuantity_(bondQuantity), bond_(bond), fundingLeg_(fundingLeg) {
 
    registerWith(bond_);
    bond_->alwaysForwardNotifications();
 
    registerWith(Settings::instance().evaluationDate());
    for (auto& c : fundingLeg_) {
        registerWith(c);
        if (auto lazy = QuantLib::ext::dynamic_pointer_cast<LazyObject>(c))
            lazy->alwaysForwardNotifications();
    }
}

Member Function Documentation

callPut()

const Option::Type callPut

(

)

Definition at line 53 of file ascot.hpp.

{ return callPut_; }

exercise()

ext::shared_ptr< Exercise > exercise

(

)

Definition at line 54 of file ascot.hpp.

{ return exercise_; }

bondQuantity()

const Real bondQuantity

(

)

Definition at line 55 of file ascot.hpp.

{ return bondQuantity_; }

underlyingBond()

const ext::shared_ptr< ConvertibleBond2 > & underlyingBond

(

)

const

Definition at line 56 of file ascot.hpp.

{ return bond_; }

fundingLeg()

const Leg & fundingLeg

(

)

const

Definition at line 58 of file ascot.hpp.

{ return fundingLeg_; }

isExpired()

bool isExpired ( ) const

override

Definition at line 60 of file ascot.hpp.

{ return bond_->isExpired(); }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

overrideprotected

Definition at line 50 of file ascot.cpp.

                                                             {
 
    Ascot::arguments* arguments = dynamic_cast<Ascot::arguments*>(args);
 
    QL_REQUIRE(arguments != 0, "wrong argument type");
 
    arguments->callPut = callPut_;
    arguments->exercise = exercise_;
    arguments->bondQuantity = bondQuantity_;
    arguments->bond = bond_;
    arguments->fundingLeg = fundingLeg_;
}

Member Data Documentation

callPut_

Option::Type callPut_

protected

Definition at line 65 of file ascot.hpp.

exercise_

ext::shared_ptr<Exercise> exercise_

protected

Definition at line 66 of file ascot.hpp.

bondQuantity_

Real bondQuantity_

protected

Definition at line 67 of file ascot.hpp.

bond_

ext::shared_ptr<ConvertibleBond2> bond_

protected

Definition at line 68 of file ascot.hpp.

fundingLeg_

Leg fundingLeg_

protected

Definition at line 69 of file ascot.hpp.