EquityForward Class Reference

#include <qle/instruments/equityforward.hpp>

Inheritance diagram for EquityForward:

Collaboration diagram for EquityForward:

Classes
class	arguments
class	engine

Public Member Functions
Constructors
	EquityForward (const std::string &name, const Currency &currency, const Position::Type &longShort, const Real &quantity, const Date &maturityDate, const Real &strike)
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override

Additional interface
std::string	name_
Currency	currency_
Position::Type	longShort_
Real	quantity_
Date	maturityDate_
Real	strike_
const std::string &	name () const
Currency	currency () const
Position::Type	longShort () const
Real	quantity () const
Date	maturityDate () const
Real	strike () const

Detailed Description

This class holds the term sheet data for an Equity Forward instrument.

Definition at line 42 of file equityforward.hpp.

Constructor & Destructor Documentation

EquityForward()

EquityForward	(	const std::string &	name,
		const Currency &	currency,
		const Position::Type &	longShort,
		const Real &	quantity,
		const Date &	maturityDate,
		const Real &	strike
	)

Parameters

name	Equity Name
currency	Currency
longShort	if true, we are long the forward
quantity	Quantity (number of lots \(times\) lot size)
maturityDate	Maturity date
strike	Strike

Definition at line 26 of file equityforward.cpp.

    : name_(name), currency_(currency), longShort_(longShort), quantity_(quantity), maturityDate_(maturityDate),
      strike_(strike) {}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 31 of file equityforward.cpp.

{ return detail::simple_event(maturityDate_).hasOccurred(); }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 33 of file equityforward.cpp.

                                                                     {
    EquityForward::arguments* arguments = dynamic_cast<EquityForward::arguments*>(args);
    QL_REQUIRE(arguments != 0, "wrong argument type in equityforward");
    arguments->name = name_;
    arguments->currency = currency_;
    arguments->longShort = longShort_;
    arguments->quantity = quantity_;
    arguments->maturityDate = maturityDate_;
    arguments->strike = strike_;
}

name()

const std::string & name

(

)

const

Definition at line 68 of file equityforward.hpp.

{ return name_; }

currency()

Currency currency

(

)

const

Definition at line 69 of file equityforward.hpp.

{ return currency_; }

longShort()

Position::Type longShort

(

)

const

Definition at line 70 of file equityforward.hpp.

{ return longShort_; }

quantity()

Real quantity

(

)

const

Definition at line 71 of file equityforward.hpp.

{ return quantity_; }

maturityDate()

Date maturityDate

(

)

const

Definition at line 72 of file equityforward.hpp.

{ return maturityDate_; }

strike()

Real strike

(

)

const

Definition at line 73 of file equityforward.hpp.

{ return strike_; }

Member Data Documentation

name_

std::string name_

private

Definition at line 77 of file equityforward.hpp.

currency_

Currency currency_

private

Definition at line 78 of file equityforward.hpp.

longShort_

Position::Type longShort_

private

Definition at line 79 of file equityforward.hpp.

quantity_

Real quantity_

private

Definition at line 80 of file equityforward.hpp.

maturityDate_

Date maturityDate_

private

Definition at line 81 of file equityforward.hpp.

strike_

Real strike_

private

Definition at line 82 of file equityforward.hpp.