Arguments for commodity APO calculation More...

#include <qle/instruments/commodityapo.hpp>

Inheritance diagram for CommodityAveragePriceOption::arguments:

Collaboration diagram for CommodityAveragePriceOption::arguments:

Public Member Functions
	arguments ()

void	validate () const override

Public Attributes
QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow >	flow

Real	quantity

Real	strikePrice

Real	accrued

Real	effectiveStrike

Option::Type	type

QuantLib::ext::shared_ptr< FxIndex >	fxIndex

Settlement::Type	settlementType

Settlement::Method	settlementMethod

Real	barrierLevel

Barrier::Type	barrierType

Exercise::Type	barrierStyle

Detailed Description

Arguments for commodity APO calculation

Definition at line 89 of file commodityapo.hpp.

Constructor & Destructor Documentation

◆ arguments()

arguments ( )

Definition at line 96 of file commodityapo.cpp.

    : quantity(0.0), strikePrice(0.0), effectiveStrike(0.0), type(Option::Call), fxIndex(nullptr),
      settlementType(Settlement::Physical), settlementMethod(Settlement::PhysicalOTC), barrierLevel(Null<Real>()),
      barrierType(Barrier::DownIn), barrierStyle(Exercise::American) {}

Member Function Documentation

◆ validate()

void validate ( ) const

override

Definition at line 101 of file commodityapo.cpp.

                                                          {
    QL_REQUIRE(flow, "underlying not set");
    QL_REQUIRE(exercise, "exercise not set");
    QuantLib::Settlement::checkTypeAndMethodConsistency(settlementType, settlementMethod);
}

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Member Data Documentation

◆ flow

QuantLib::ext::shared_ptr<CommodityIndexedAverageCashFlow> flow

Definition at line 92 of file commodityapo.hpp.

◆ quantity

Real quantity

Definition at line 93 of file commodityapo.hpp.

◆ strikePrice

Real strikePrice

Definition at line 94 of file commodityapo.hpp.

◆ accrued

Real accrued

Definition at line 95 of file commodityapo.hpp.

◆ effectiveStrike

Real effectiveStrike

Definition at line 96 of file commodityapo.hpp.

◆ type

Option::Type type

Definition at line 97 of file commodityapo.hpp.

◆ fxIndex

QuantLib::ext::shared_ptr<FxIndex> fxIndex

Definition at line 98 of file commodityapo.hpp.

◆ settlementType

Settlement::Type settlementType

Definition at line 99 of file commodityapo.hpp.

◆ settlementMethod

Settlement::Method settlementMethod

Definition at line 100 of file commodityapo.hpp.

◆ barrierLevel

Real barrierLevel

Definition at line 101 of file commodityapo.hpp.

◆ barrierType

Barrier::Type barrierType

Definition at line 102 of file commodityapo.hpp.

◆ barrierStyle

Exercise::Type barrierStyle

Definition at line 103 of file commodityapo.hpp.

Public Member Functions

Public Attributes