CliquetOption Class Reference

#include <qle/instruments/cliquetoption.hpp>

Inheritance diagram for CliquetOption:

Collaboration diagram for CliquetOption:

Classes
class	arguments
class	engine
	Cliquet engine base class. More...

Public Member Functions
	CliquetOption (const QuantLib::ext::shared_ptr< PercentageStrikePayoff > &payoff, const QuantLib::ext::shared_ptr< EuropeanExercise > &maturity, const std::set< Date > &valuationDates, const Date &paymentDate, const Real notional, const Position::Type &longShort, const Real localCap=Null< Real >(), const Real localFloor=Null< Real >(), const Real globalCap=Null< Real >(), const Real globalFloor=Null< Real >(), const Real premium=Null< Real >(), const Date &premiumPayDate=Date(), const std::string &premiumCurrency="")
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
const std::set< Date > &	valuationDates () const

Private Attributes
const std::set< Date >	valuationDates_
const Date	paymentDate_
const Real	notional_
const Position::Type	longShort_
const Real	localCap_
const Real	localFloor_
const Real	globalCap_
const Real	globalFloor_
const Real	premium_
const Date	premiumPayDate_
const std::string	premiumCurrency_

Detailed Description

The payoff on the payment date is given by min( max( sum min( max( S(t) / S(t-1) - moneyness, localFloor ), localCap ), globalFloor), globalCap)

Definition at line 39 of file cliquetoption.hpp.

Constructor & Destructor Documentation

CliquetOption()

CliquetOption	(	const QuantLib::ext::shared_ptr< PercentageStrikePayoff > &	payoff,
		const QuantLib::ext::shared_ptr< EuropeanExercise > &	maturity,
		const std::set< Date > &	valuationDates,
		const Date &	paymentDate,
		const Real	notional,
		const Position::Type &	longShort,
		const Real	localCap = Null<Real>(),
		const Real	localFloor = Null<Real>(),
		const Real	globalCap = Null<Real>(),
		const Real	globalFloor = Null<Real>(),
		const Real	premium = Null<Real>(),
		const Date &	premiumPayDate = Date(),
		const std::string &	premiumCurrency = ""
	)

Definition at line 25 of file cliquetoption.cpp.

    : OneAssetOption(payoff, maturity), valuationDates_(valuationDates), paymentDate_(paymentDate), notional_(notional),
      longShort_(longShort), localCap_(localCap), localFloor_(localFloor), globalCap_(globalCap),
      globalFloor_(globalFloor), premium_(premium), premiumPayDate_(premiumPayDate), premiumCurrency_(premiumCurrency) {
 
    QL_REQUIRE(valuationDates.size() > 0, "cliquet option: at least one valuation date must be given");
    QL_REQUIRE(paymentDate >= *valuationDates.rbegin(), "cliquet option: payment date ("
                                                            << paymentDate << ") must be after last valuation date ("
                                                            << *valuationDates.rbegin() << ")");
}

Here is the call graph for this function:

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 40 of file cliquetoption.cpp.

{ return Settings::instance().evaluationDate() >= paymentDate_; }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 42 of file cliquetoption.cpp.

                                                                     {
    OneAssetOption::setupArguments(args);
    CliquetOption::arguments* moreArgs = dynamic_cast<CliquetOption::arguments*>(args);
    QL_REQUIRE(moreArgs != 0, "cliquet option: wrong engine type");
 
    moreArgs->notional = notional_;
    moreArgs->longShort = longShort_;
    moreArgs->moneyness = QuantLib::ext::dynamic_pointer_cast<PercentageStrikePayoff>(payoff_)->strike();
    moreArgs->type = QuantLib::ext::dynamic_pointer_cast<PercentageStrikePayoff>(payoff_)->optionType();
    moreArgs->valuationDates = valuationDates_;
    moreArgs->paymentDate = paymentDate_;
    moreArgs->localCap = localCap_;
    moreArgs->localFloor = localFloor_;
    moreArgs->globalCap = globalCap_;
    moreArgs->globalFloor = globalFloor_;
    moreArgs->premium = premium_;
    moreArgs->premiumPayDate = premiumPayDate_;
    moreArgs->premiumCurrency = premiumCurrency_;
}

valuationDates()

const std::set< Date > & valuationDates

(

)

const

Definition at line 53 of file cliquetoption.hpp.

{ return valuationDates_; }

Here is the caller graph for this function:

Member Data Documentation

valuationDates_

const std::set<Date> valuationDates_

private

Definition at line 56 of file cliquetoption.hpp.

paymentDate_

const Date paymentDate_

private

Definition at line 57 of file cliquetoption.hpp.

notional_

const Real notional_

private

Definition at line 58 of file cliquetoption.hpp.

longShort_

const Position::Type longShort_

private

Definition at line 59 of file cliquetoption.hpp.

localCap_

const Real localCap_

private

Definition at line 60 of file cliquetoption.hpp.

localFloor_

const Real localFloor_

private

Definition at line 60 of file cliquetoption.hpp.

globalCap_

const Real globalCap_

private

Definition at line 60 of file cliquetoption.hpp.

globalFloor_

const Real globalFloor_

private

Definition at line 60 of file cliquetoption.hpp.

premium_

const Real premium_

private

Definition at line 60 of file cliquetoption.hpp.

premiumPayDate_

const Date premiumPayDate_

private

Definition at line 61 of file cliquetoption.hpp.

premiumCurrency_

const std::string premiumCurrency_

private

Definition at line 62 of file cliquetoption.hpp.