Arguments for commodity spread option calculation More...

#include <qle/instruments/commodityspreadoption.hpp>

Inheritance diagram for CommoditySpreadOption::arguments:

Collaboration diagram for CommoditySpreadOption::arguments:

Public Member Functions
	arguments ()

void	validate () const override

Public Attributes
QuantLib::ext::shared_ptr< CommodityCashFlow >	longAssetFlow

QuantLib::ext::shared_ptr< CommodityCashFlow >	shortAssetFlow

Real	quantity

Real	strikePrice

Real	effectiveStrike

Option::Type	type

Date	paymentDate

QuantLib::ext::shared_ptr< FxIndex >	longAssetFxIndex

QuantLib::ext::shared_ptr< FxIndex >	shortAssetFxIndex

bool	isCalendarSpread

Date	longAssetLastPricingDate

Date	shortAssetLastPricingDate

Settlement::Type	settlementType

Settlement::Method	settlementMethod

Detailed Description

Arguments for commodity spread option calculation

Definition at line 86 of file commodityspreadoption.hpp.

Constructor & Destructor Documentation

◆ arguments()

arguments ( )

Definition at line 95 of file commodityspreadoption.cpp.

    : quantity(0.0), strikePrice(0.0), effectiveStrike(0.0), type(Option::Call), paymentDate(Date()),
      longAssetFxIndex(nullptr), shortAssetFxIndex(nullptr), settlementType(Settlement::Physical),
      settlementMethod(Settlement::PhysicalOTC) {}

Member Function Documentation

◆ validate()

void validate ( ) const

override

Definition at line 100 of file commodityspreadoption.cpp.

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

Member Data Documentation

◆ longAssetFlow

QuantLib::ext::shared_ptr<CommodityCashFlow> longAssetFlow

Definition at line 89 of file commodityspreadoption.hpp.

◆ shortAssetFlow

QuantLib::ext::shared_ptr<CommodityCashFlow> shortAssetFlow

Definition at line 90 of file commodityspreadoption.hpp.

◆ quantity

Real quantity

Definition at line 91 of file commodityspreadoption.hpp.

◆ strikePrice

Real strikePrice

Definition at line 92 of file commodityspreadoption.hpp.

◆ effectiveStrike

Real effectiveStrike

Definition at line 93 of file commodityspreadoption.hpp.

◆ type

Option::Type type

Definition at line 94 of file commodityspreadoption.hpp.

◆ paymentDate

Date paymentDate

Definition at line 95 of file commodityspreadoption.hpp.

◆ longAssetFxIndex

QuantLib::ext::shared_ptr<FxIndex> longAssetFxIndex

Definition at line 96 of file commodityspreadoption.hpp.

◆ shortAssetFxIndex

QuantLib::ext::shared_ptr<FxIndex> shortAssetFxIndex

Definition at line 97 of file commodityspreadoption.hpp.

◆ isCalendarSpread

bool isCalendarSpread

Definition at line 98 of file commodityspreadoption.hpp.

◆ longAssetLastPricingDate

Date longAssetLastPricingDate

Definition at line 99 of file commodityspreadoption.hpp.

◆ shortAssetLastPricingDate

Date shortAssetLastPricingDate

Definition at line 100 of file commodityspreadoption.hpp.

◆ settlementType

Settlement::Type settlementType

Definition at line 101 of file commodityspreadoption.hpp.

◆ settlementMethod

Settlement::Method settlementMethod

Definition at line 102 of file commodityspreadoption.hpp.

Public Member Functions

Public Attributes