BondOption Class Reference

Bond option class. More...

#include <qle/instruments/bondoption.hpp>

Inheritance diagram for BondOption:

Collaboration diagram for BondOption:

Classes
class	arguments
class	engine
class	results

Public Member Functions
	BondOption (const QuantLib::ext::shared_ptr< QuantLib::Bond > &underlying, const CallabilitySchedule &putCallSchedule, const bool knocksOutOnDefault=false)
bool	isExpired () const override
void	deepUpdate () override
const CallabilitySchedule &	callability () const

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

Private Attributes
const QuantLib::ext::shared_ptr< QuantLib::Bond >	underlying_
const CallabilitySchedule	putCallSchedule_
const bool	knocksOutOnDefault_

Detailed Description

Bond option class.

Definition at line 34 of file bondoption.hpp.

Constructor & Destructor Documentation

BondOption()

BondOption	(	const QuantLib::ext::shared_ptr< QuantLib::Bond > &	underlying,
		const CallabilitySchedule &	putCallSchedule,
		const bool	knocksOutOnDefault = false
	)

Definition at line 36 of file bondoption.hpp.

        : underlying_(underlying), putCallSchedule_(putCallSchedule), knocksOutOnDefault_(knocksOutOnDefault) {}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 23 of file bondoption.cpp.

{ return putCallSchedule_.back()->hasOccurred(); }

deepUpdate()

void deepUpdate ( )

override

Definition at line 41 of file bondoption.hpp.

                               {
        underlying_->update();
        this->update();
    }

callability()

const CallabilitySchedule & callability

(

)

const

Definition at line 46 of file bondoption.hpp.

{ return putCallSchedule_; }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

overrideprivate

Definition at line 25 of file bondoption.cpp.

                                                                  {
    BondOption::arguments* arguments = dynamic_cast<BondOption::arguments*>(args);
    QL_REQUIRE(arguments != 0, "wrong argument type");
    arguments->underlying = underlying_;
    arguments->putCallSchedule = putCallSchedule_;
    arguments->knocksOutOnDefault = knocksOutOnDefault_;
}

Member Data Documentation

underlying_

const QuantLib::ext::shared_ptr<QuantLib::Bond> underlying_

private

Definition at line 54 of file bondoption.hpp.

putCallSchedule_

const CallabilitySchedule putCallSchedule_

private

Definition at line 55 of file bondoption.hpp.

knocksOutOnDefault_

const bool knocksOutOnDefault_

private

Definition at line 56 of file bondoption.hpp.