CashSettledEuropeanOption Class Reference

#include <qle/instruments/cashsettledeuropeanoption.hpp>

Inheritance diagram for CashSettledEuropeanOption:

Collaboration diagram for CashSettledEuropeanOption:

Classes
class	arguments
class	engine
	Engine. More...

Public Member Functions
	CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate, bool automaticExercise, const QuantLib::ext::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >())
	Constructor for cash settled vanilla European option. More...
	CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, const QuantLib::Date &expiryDate, QuantLib::Natural paymentLag, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, bool automaticExercise, const QuantLib::ext::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >())
	Constructor for cash settled vanilla European option. More...
	CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, QuantLib::Real cashPayoff, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate, bool automaticExercise, const QuantLib::ext::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >())
	Constructor for cash settled vanilla European option with digital payoff. More...
	CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, QuantLib::Real cashPayoff, const QuantLib::Date &expiryDate, QuantLib::Natural paymentLag, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, bool automaticExercise, const QuantLib::ext::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >())
	Constructor for cash settled vanilla European option with digital payoff. More...
Instrument interface
bool	isExpired () const override
	Account for cash settled European options not being expired until payment is made. More...
void	setupArguments (QuantLib::PricingEngine::arguments *args) const override
	Set up the extra arguments. More...
void	exercise (QuantLib::Real priceAtExercise)
	Mark option as manually exercised at the given priceAtExercise. More...

Inspectors
QuantLib::Date	paymentDate_
bool	automaticExercise_
QuantLib::ext::shared_ptr< QuantLib::Index >	underlying_
bool	exercised_
QuantLib::Real	priceAtExercise_
const QuantLib::Date &	paymentDate () const
bool	automaticExercise () const
const QuantLib::ext::shared_ptr< QuantLib::Index > &	underlying () const
bool	exercised () const
QuantLib::Real	priceAtExercise () const
void	init (bool exercised, QuantLib::Real priceAtExercise)
	Shared initialisation. More...

Detailed Description

Vanilla cash settled European options allowing for deferred payment and automatic exercise.

Definition at line 36 of file cashsettledeuropeanoption.hpp.

Constructor & Destructor Documentation

CashSettledEuropeanOption() [1/4]

CashSettledEuropeanOption	(	QuantLib::Option::Type	type,
		QuantLib::Real	strike,
		const QuantLib::Date &	expiryDate,
		const QuantLib::Date &	paymentDate,
		bool	automaticExercise,
		const QuantLib::ext::shared_ptr< QuantLib::Index > &	underlying = nullptr,
		bool	exercised = false,
		QuantLib::Real	priceAtExercise = QuantLib::Null< QuantLib::Real >()
	)

Constructor for cash settled vanilla European option.

CashSettledEuropeanOption() [2/4]

CashSettledEuropeanOption	(	QuantLib::Option::Type	type,
		QuantLib::Real	strike,
		const QuantLib::Date &	expiryDate,
		QuantLib::Natural	paymentLag,
		const QuantLib::Calendar &	paymentCalendar,
		QuantLib::BusinessDayConvention	paymentConvention,
		bool	automaticExercise,
		const QuantLib::ext::shared_ptr< QuantLib::Index > &	underlying = nullptr,
		bool	exercised = false,
		QuantLib::Real	priceAtExercise = QuantLib::Null< QuantLib::Real >()
	)

Constructor for cash settled vanilla European option.

CashSettledEuropeanOption() [3/4]

CashSettledEuropeanOption	(	QuantLib::Option::Type	type,
		QuantLib::Real	strike,
		QuantLib::Real	cashPayoff,
		const QuantLib::Date &	expiryDate,
		const QuantLib::Date &	paymentDate,
		bool	automaticExercise,
		const QuantLib::ext::shared_ptr< QuantLib::Index > &	underlying = nullptr,
		bool	exercised = false,
		QuantLib::Real	priceAtExercise = QuantLib::Null< QuantLib::Real >()
	)

Constructor for cash settled vanilla European option with digital payoff.

CashSettledEuropeanOption() [4/4]

CashSettledEuropeanOption	(	QuantLib::Option::Type	type,
		QuantLib::Real	strike,
		QuantLib::Real	cashPayoff,
		const QuantLib::Date &	expiryDate,
		QuantLib::Natural	paymentLag,
		const QuantLib::Calendar &	paymentCalendar,
		QuantLib::BusinessDayConvention	paymentConvention,
		bool	automaticExercise,
		const QuantLib::ext::shared_ptr< QuantLib::Index > &	underlying = nullptr,
		bool	exercised = false,
		QuantLib::Real	priceAtExercise = QuantLib::Null< QuantLib::Real >()
	)

Constructor for cash settled vanilla European option with digital payoff.

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Account for cash settled European options not being expired until payment is made.

Definition at line 141 of file cashsettledeuropeanoption.cpp.

{ return QuantLib::detail::simple_event(paymentDate_).hasOccurred(); }

setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments *  args ) const

override

Set up the extra arguments.

Definition at line 143 of file cashsettledeuropeanoption.cpp.

                                                                                 {
 
    VanillaOption::setupArguments(args);
 
    CashSettledEuropeanOption::arguments* arguments = dynamic_cast<CashSettledEuropeanOption::arguments*>(args);
 
    // We have a VanillaOption engine that will ignore the deferred payment.
    if (!arguments)
        return;
 
    // Set up the arguments specific to cash settled european option.
    arguments->paymentDate = paymentDate_;
    arguments->automaticExercise = automaticExercise_;
    arguments->underlying = underlying_;
    arguments->exercised = exercised_;
    arguments->priceAtExercise = priceAtExercise_;
}

exercise()

void exercise

(

QuantLib::Real

priceAtExercise

)

Mark option as manually exercised at the given priceAtExercise.

Definition at line 161 of file cashsettledeuropeanoption.cpp.

                                                             {
    QL_REQUIRE(priceAtExercise != Null<Real>(), "Cannot exercise with a null price.");
    QL_REQUIRE(Settings::instance().evaluationDate() >= exercise_->lastDate(),
               "European option cannot be "
                   << "exercised before expiry date. Valuation date " << iso_date(Settings::instance().evaluationDate())
                   << " is before expiry date " << iso_date(exercise_->lastDate()) << ".");
    exercised_ = true;
    priceAtExercise_ = priceAtExercise;
    update();
}

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paymentDate()

const Date & paymentDate

(

)

const

Definition at line 172 of file cashsettledeuropeanoption.cpp.

{ return paymentDate_; }

automaticExercise()

bool automaticExercise

(

)

const

Definition at line 174 of file cashsettledeuropeanoption.cpp.

{ return automaticExercise_; }

underlying()

const QuantLib::ext::shared_ptr< Index > & underlying

(

)

const

Definition at line 176 of file cashsettledeuropeanoption.cpp.

{ return underlying_; }

exercised()

bool exercised

(

)

const

Definition at line 178 of file cashsettledeuropeanoption.cpp.

{ return exercised_; }

priceAtExercise()

Real priceAtExercise

(

)

const

Definition at line 180 of file cashsettledeuropeanoption.cpp.

{ return priceAtExercise_; }

init()

void init ( bool  exercised, QuantLib::Real  priceAtExercise  )

private

Shared initialisation.

Definition at line 133 of file cashsettledeuropeanoption.cpp.

                                                                         {
    if (exercised)
        exercise(priceAtExercise);
 
    if (automaticExercise_ && underlying_)
        registerWith(underlying_);
}

Member Data Documentation

paymentDate_

QuantLib::Date paymentDate_

private

Definition at line 91 of file cashsettledeuropeanoption.hpp.

automaticExercise_

bool automaticExercise_

private

Definition at line 92 of file cashsettledeuropeanoption.hpp.

underlying_

QuantLib::ext::shared_ptr<QuantLib::Index> underlying_

private

Definition at line 93 of file cashsettledeuropeanoption.hpp.

exercised_

bool exercised_

private

Definition at line 94 of file cashsettledeuropeanoption.hpp.

priceAtExercise_

QuantLib::Real priceAtExercise_

private

Definition at line 95 of file cashsettledeuropeanoption.hpp.