CliquetOption::arguments Class Reference

#include <qle/instruments/cliquetoption.hpp>

Inheritance diagram for CliquetOption::arguments:

Collaboration diagram for CliquetOption::arguments:

Public Member Functions
	arguments ()
void	validate () const override

Public Attributes
Option::Type	type
Position::Type	longShort
Real	notional
Real	moneyness
std::set< Date >	valuationDates
Date	paymentDate
Real	localCap
Real	localFloor
Real	globalCap
Real	globalFloor
Real	premium
Date	premiumPayDate
std::string	premiumCurrency

Detailed Description

Definition at line 65 of file cliquetoption.hpp.

Constructor & Destructor Documentation

arguments()

arguments

(

)

Definition at line 67 of file cliquetoption.hpp.

        : valuationDates(std::set<Date>()), paymentDate(Date()), localCap(Null<Real>()), localFloor(Null<Real>()),
          globalCap(Null<Real>()), globalFloor(Null<Real>()), premium(Null<Real>()), premiumPayDate(Date()) {}

Member Function Documentation

validate()

void validate ( ) const

override

Definition at line 62 of file cliquetoption.cpp.

                                            {
 
    QuantLib::ext::shared_ptr<PercentageStrikePayoff> moneyness = QuantLib::ext::dynamic_pointer_cast<PercentageStrikePayoff>(payoff);
    QL_REQUIRE(moneyness, "wrong payoff type");
    QL_REQUIRE(moneyness->strike() > 0.0, "negative or zero moneyness given");
    QL_REQUIRE(!valuationDates.empty(), "no reset dates given");
}

Member Data Documentation

type

Option::Type type

Definition at line 73 of file cliquetoption.hpp.

longShort

Position::Type longShort

Definition at line 74 of file cliquetoption.hpp.

notional

Real notional

Definition at line 75 of file cliquetoption.hpp.

moneyness

Real moneyness

Definition at line 75 of file cliquetoption.hpp.

valuationDates

std::set<Date> valuationDates

Definition at line 76 of file cliquetoption.hpp.

paymentDate

Date paymentDate

Definition at line 77 of file cliquetoption.hpp.

localCap

Real localCap

Definition at line 78 of file cliquetoption.hpp.

localFloor

Real localFloor

Definition at line 78 of file cliquetoption.hpp.

globalCap

Real globalCap

Definition at line 78 of file cliquetoption.hpp.

globalFloor

Real globalFloor

Definition at line 78 of file cliquetoption.hpp.

premium

Real premium

Definition at line 78 of file cliquetoption.hpp.

premiumPayDate

Date premiumPayDate

Definition at line 79 of file cliquetoption.hpp.

premiumCurrency

std::string premiumCurrency

Definition at line 80 of file cliquetoption.hpp.