Commodity Spread Option. More...

#include <qle/instruments/commodityspreadoption.hpp>

Inheritance diagram for CommoditySpreadOption:

Collaboration diagram for CommoditySpreadOption:

Classes
class	arguments
	Arguments for commodity spread option calculation More...

class	engine
	base class for commodity spread option engines More...

Public Member Functions
	CommoditySpreadOption (const QuantLib::ext::shared_ptr< CommodityCashFlow > &longAssetCashflow, const QuantLib::ext::shared_ptr< CommodityCashFlow > &shortAssetCashflow, const ext::shared_ptr< Exercise > &exercise, const Real quantity, const Real strikePrice, Option::Type type, const QuantLib::Date &paymentDate=Date(), const QuantLib::ext::shared_ptr< FxIndex > &longAssetFxIndex=nullptr, const QuantLib::ext::shared_ptr< FxIndex > &shortAssetFxIndex=nullptr, Settlement::Type delivery=Settlement::Physical, Settlement::Method settlementMethod=Settlement::PhysicalOTC)

Instrument interface
bool	isExpired () const override

void	setupArguments (PricingEngine::arguments *) const override

Inspectors
QuantLib::ext::shared_ptr< CommodityCashFlow >	longAssetFlow_

QuantLib::ext::shared_ptr< CommodityCashFlow >	shortAssetFlow_

Real	quantity_

Real	strikePrice_

Option::Type	type_

Date	paymentDate_

QuantLib::ext::shared_ptr< FxIndex >	longAssetFxIndex_

QuantLib::ext::shared_ptr< FxIndex >	shortAssetFxIndex_

QuantLib::Settlement::Type	settlementType_

QuantLib::Settlement::Method	settlementMethod_

const QuantLib::ext::shared_ptr< CommodityCashFlow > &	underlyingLongAssetFlow () const

const QuantLib::ext::shared_ptr< CommodityCashFlow > &	underlyingShortAssetFlow () const

const QuantLib::ext::shared_ptr< FxIndex > &	longAssetFxIndex () const

const QuantLib::ext::shared_ptr< FxIndex > &	shortAssetFxIndex () const

Real	effectiveStrike () const

bool	isCalendarSpread () const

Detailed Description

Commodity Spread Option.

Definition at line 39 of file commodityspreadoption.hpp.

Constructor & Destructor Documentation

◆ CommoditySpreadOption()

CommoditySpreadOption	(	const QuantLib::ext::shared_ptr< CommodityCashFlow > &	longAssetCashflow,
		const QuantLib::ext::shared_ptr< CommodityCashFlow > &	shortAssetCashflow,
		const ext::shared_ptr< Exercise > &	exercise,
		const Real	quantity,
		const Real	strikePrice,
		Option::Type	type,
		const QuantLib::Date &	paymentDate = `Date()`,
		const QuantLib::ext::shared_ptr< FxIndex > &	longAssetFxIndex = `nullptr`,
		const QuantLib::ext::shared_ptr< FxIndex > &	shortAssetFxIndex = `nullptr`,
		Settlement::Type	delivery = `Settlement::Physical`,
		Settlement::Method	settlementMethod = `Settlement::PhysicalOTC`
	)

Definition at line 27 of file commodityspreadoption.cpp.

    : Option(ext::shared_ptr<Payoff>(), exercise), longAssetFlow_(longAssetFlow), shortAssetFlow_(shortAssetFlow),
      quantity_(quantity), strikePrice_(strikePrice), type_(type), paymentDate_(paymentDate),
      longAssetFxIndex_(longAssetFxIndex), shortAssetFxIndex_(shortAssetFxIndex), settlementType_(delivery),
      settlementMethod_(settlementMethod) {
    registerWith(longAssetFlow_);
    registerWith(shortAssetFlow_);
    QL_REQUIRE(ext::dynamic_pointer_cast<CommodityIndexedCashFlow>(longAssetFlow_) ||
                   QuantLib::ext::dynamic_pointer_cast<CommodityIndexedAverageCashFlow>(longAssetFlow_),
               "Expect commodity floating cashflows");
    QL_REQUIRE(ext::dynamic_pointer_cast<CommodityIndexedCashFlow>(shortAssetFlow_) ||
                   QuantLib::ext::dynamic_pointer_cast<CommodityIndexedAverageCashFlow>(shortAssetFlow_),
               "Expect commodity floating cashflows");
    if (auto avgFlow = QuantLib::ext::dynamic_pointer_cast<CommodityIndexedAverageCashFlow>(longAssetFlow_)) {
        QL_REQUIRE(exercise_->lastDate() >= avgFlow->indices().rbegin()->first,
                   "exercise Date hast to be after last observation date");
    }
    if (auto avgFlow = QuantLib::ext::dynamic_pointer_cast<CommodityIndexedAverageCashFlow>(shortAssetFlow_)) {
        QL_REQUIRE(exercise_->lastDate() >= avgFlow->indices().rbegin()->first,
                   "exercise Date hast to be after last observation date");
    }
 
    if (longAssetFxIndex_)
        registerWith(longAssetFxIndex_);
    if (shortAssetFxIndex_)
        registerWith(shortAssetFxIndex_);
    if (paymentDate_ == Date()) {
        paymentDate_ = std::max(longAssetFlow_->date(), shortAssetFlow_->date());
    }
}

Member Function Documentation

◆ isExpired()

bool isExpired ( ) const

override

Definition at line 65 of file commodityspreadoption.cpp.

65{ return paymentDate_ < Settings::instance().evaluationDate(); }

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * args ) const

override

Definition at line 71 of file commodityspreadoption.cpp.

                                                                             {
    Option::setupArguments(args);
 
    CommoditySpreadOption::arguments* arguments = dynamic_cast<CommoditySpreadOption::arguments*>(args);
 
    QL_REQUIRE(arguments != 0, "wrong argument type");
    QL_REQUIRE(longAssetFlow_->gearing() > 0.0, "The gearing on an APO must be positive");
 
    arguments->quantity = quantity_;
    arguments->strikePrice = strikePrice_;
    arguments->effectiveStrike = effectiveStrike();
    arguments->type = type_;
    arguments->settlementType = settlementType_;
    arguments->settlementMethod = settlementMethod_;
    arguments->exercise = exercise_;
    arguments->longAssetFlow = underlyingLongAssetFlow();
    arguments->shortAssetFlow = underlyingShortAssetFlow();
    arguments->longAssetFxIndex = longAssetFxIndex();
    arguments->shortAssetFxIndex = shortAssetFxIndex();
    arguments->paymentDate = paymentDate_;
    arguments->longAssetLastPricingDate = longAssetFlow_->lastPricingDate();
    arguments->shortAssetLastPricingDate = shortAssetFlow_->lastPricingDate();
}

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