CommodityAveragePriceOption Class Reference

Commodity Average Price Option. More...

#include <qle/instruments/commodityapo.hpp>

Inheritance diagram for CommodityAveragePriceOption:

Collaboration diagram for CommodityAveragePriceOption:

Classes
class	arguments
	Arguments for commodity APO calculation More...
class	engine
	base class for APO engines More...

Public Member Functions
	CommodityAveragePriceOption (const QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow > &flow, const ext::shared_ptr< Exercise > &exercise, const Real quantity, const Real strikePrice, Option::Type type, Settlement::Type delivery=Settlement::Physical, Settlement::Method settlementMethod=Settlement::PhysicalOTC, const Real barrierLevel=Null< Real >(), Barrier::Type barrierType=Barrier::Type::DownIn, Exercise::Type barrierStyle=Exercise::American, const QuantLib::ext::shared_ptr< FxIndex > &fxIndex=nullptr)
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override

Inspectors
QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow >	flow_
Real	quantity_
Real	strikePrice_
Option::Type	type_
QuantLib::Settlement::Type	settlementType_
QuantLib::Settlement::Method	settlementMethod_
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_
Real	barrierLevel_
Barrier::Type	barrierType_
Exercise::Type	barrierStyle_
Settlement::Type	settlementType () const
Settlement::Method	settlementMethod () const
const QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow > &	underlyingFlow () const
const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex () const
Real	barrierLevel () const
Barrier::Type	barrierType () const
Exercise::Type	barrierStyle () const
Real	effectiveStrike () const
Real	accrued (const Date &refDate) const

Detailed Description

Commodity Average Price Option.

Definition at line 41 of file commodityapo.hpp.

Constructor & Destructor Documentation

CommodityAveragePriceOption()

CommodityAveragePriceOption	(	const QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow > &	flow,
		const ext::shared_ptr< Exercise > &	exercise,
		const Real	quantity,
		const Real	strikePrice,
		Option::Type	type,
		Settlement::Type	delivery = Settlement::Physical,
		Settlement::Method	settlementMethod = Settlement::PhysicalOTC,
		const Real	barrierLevel = Null<Real>(),
		Barrier::Type	barrierType = Barrier::Type::DownIn,
		Exercise::Type	barrierStyle = Exercise::American,
		const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex = nullptr
	)

Definition at line 25 of file commodityapo.cpp.

    : Option(ext::shared_ptr<Payoff>(), exercise), flow_(flow), quantity_(quantity), strikePrice_(strikePrice),
      type_(type), settlementType_(delivery), settlementMethod_(settlementMethod), fxIndex_(fxIndex),
      barrierLevel_(barrierLevel), barrierType_(barrierType), barrierStyle_(barrierStyle) {
    flow_->alwaysForwardNotifications();
    registerWith(flow_);
    if (fxIndex_)
        registerWith(fxIndex_);
}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 42 of file commodityapo.cpp.

{ return detail::simple_event(flow_->date()).hasOccurred(); }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 71 of file commodityapo.cpp.

                                                                                   {
    Option::setupArguments(args);
 
    CommodityAveragePriceOption::arguments* arguments = dynamic_cast<CommodityAveragePriceOption::arguments*>(args);
 
    QL_REQUIRE(arguments != 0, "wrong argument type");
    QL_REQUIRE(flow_->gearing() > 0.0, "The gearing on an APO must be positive");
 
    Date today = Settings::instance().evaluationDate();
 
    arguments->quantity = quantity_;
    arguments->strikePrice = strikePrice_;
    arguments->effectiveStrike = effectiveStrike();
    arguments->accrued = accrued(today);
    arguments->type = type_;
    arguments->settlementType = settlementType_;
    arguments->settlementMethod = settlementMethod_;
    arguments->barrierLevel = barrierLevel_;
    arguments->barrierType = barrierType_;
    arguments->barrierStyle = barrierStyle_;
    arguments->exercise = exercise_;
    arguments->flow = flow_;
    arguments->fxIndex = fxIndex_;
}

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settlementType()

Settlement::Type settlementType

(

)

const

Definition at line 62 of file commodityapo.hpp.

{ return settlementType_; }

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settlementMethod()

Settlement::Method settlementMethod

(

)

const

Definition at line 63 of file commodityapo.hpp.

{ return settlementMethod_; }

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underlyingFlow()

const QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow > & underlyingFlow

(

)

const

Definition at line 64 of file commodityapo.hpp.

{ return flow_; }

fxIndex()

const QuantLib::ext::shared_ptr< FxIndex > & fxIndex

(

)

const

Definition at line 66 of file commodityapo.hpp.

{ return fxIndex_; }

barrierLevel()

Real barrierLevel

(

)

const

Definition at line 67 of file commodityapo.hpp.

{ return barrierLevel_; }

barrierType()

Barrier::Type barrierType

(

)

const

Definition at line 68 of file commodityapo.hpp.

{ return barrierType_; }

barrierStyle()

Exercise::Type barrierStyle

(

)

const

Definition at line 69 of file commodityapo.hpp.

{ return barrierStyle_; }

effectiveStrike()

Real effectiveStrike

(

)

const

Definition at line 44 of file commodityapo.cpp.

                                                        {
    return (strikePrice_ - flow_->spread()) / flow_->gearing();
}

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accrued()

Real accrued

(

const Date &

refDate

)

const

Definition at line 48 of file commodityapo.cpp.

                                                                   {
    Real tmp = 0.0;
 
    // If all of the pricing dates are greater than today => no accrued
    if (refDate >= flow_->indices().begin()->first) {
        for (const auto& kv : flow_->indices()) {
            // Break on the first pricing date that is greater than today
            if (refDate < kv.first) {
                break;
            }
            // Update accrued where pricing date is on or before today
            Real fxRate = (fxIndex_)?fxIndex_->fixing(kv.first):1.;
            tmp += fxRate*kv.second->fixing(kv.first);
        }
        // We should have pricing dates in the period but check.
        auto n = flow_->indices().size();
        QL_REQUIRE(n > 0, "APO coupon accrued calculation has a degenerate coupon.");
        tmp /= n;
    }
 
    return tmp;
}

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Member Data Documentation

flow_

QuantLib::ext::shared_ptr<CommodityIndexedAverageCashFlow> flow_

private

Definition at line 76 of file commodityapo.hpp.

quantity_

Real quantity_

private

Definition at line 77 of file commodityapo.hpp.

strikePrice_

Real strikePrice_

private

Definition at line 78 of file commodityapo.hpp.

type_

Option::Type type_

private

Definition at line 79 of file commodityapo.hpp.

settlementType_

QuantLib::Settlement::Type settlementType_

private

Definition at line 80 of file commodityapo.hpp.

settlementMethod_

QuantLib::Settlement::Method settlementMethod_

private

Definition at line 81 of file commodityapo.hpp.

fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

private

Definition at line 82 of file commodityapo.hpp.

barrierLevel_

Real barrierLevel_

private

Definition at line 83 of file commodityapo.hpp.

barrierType_

Barrier::Type barrierType_

private

Definition at line 84 of file commodityapo.hpp.

barrierStyle_

Exercise::Type barrierStyle_

private

Definition at line 85 of file commodityapo.hpp.