MultiLegOption Class Reference

#include <qle/instruments/multilegoption.hpp>

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Classes
class	arguments
class	engine
class	results

Public Member Functions
	MultiLegOption (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currency, const QuantLib::ext::shared_ptr< Exercise > &exercise=QuantLib::ext::shared_ptr< Exercise >(), const Settlement::Type settlementType=Settlement::Physical, Settlement::Method settlementMethod=Settlement::PhysicalOTC)
	exercise = nullptr means that the instrument is identical to the underlying itself (i.e. a swap) More...
const std::vector< Leg > &	legs () const
const std::vector< bool > &	payer () const
const std::vector< Currency > &	currency () const
const QuantLib::ext::shared_ptr< Exercise >	exercise () const
const Settlement::Type	settlementType () const
const Settlement::Method	settlementMethod () const
void	deepUpdate () override
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
const Date &	maturityDate () const
Real	underlyingNpv () const

Private Attributes
const std::vector< Leg >	legs_
const std::vector< bool >	payer_
const std::vector< Currency >	currency_
const QuantLib::ext::shared_ptr< Exercise >	exercise_
const Settlement::Type	settlementType_
const Settlement::Method	settlementMethod_
Date	maturity_
Real	underlyingNpv_

Detailed Description

Definition at line 36 of file multilegoption.hpp.

Constructor & Destructor Documentation

MultiLegOption()

MultiLegOption	(	const std::vector< Leg > &	legs,
		const std::vector< bool > &	payer,
		const std::vector< Currency > &	currency,
		const QuantLib::ext::shared_ptr< Exercise > &	exercise = QuantLib::ext::shared_ptr<Exercise>(),
		const Settlement::Type	settlementType = Settlement::Physical,
		Settlement::Method	settlementMethod = Settlement::PhysicalOTC
	)

exercise = nullptr means that the instrument is identical to the underlying itself (i.e. a swap)

Definition at line 25 of file multilegoption.cpp.

    : legs_(legs), payer_(payer), currency_(currency), exercise_(exercise), settlementType_(settlementType),
      settlementMethod_(settlementMethod) {
 
    QL_REQUIRE(legs_.size() > 0, "MultiLegOption: No legs are given");
    QL_REQUIRE(payer_.size() == legs_.size(),
               "MultiLegOption: payer size (" << payer.size() << ") does not match legs size (" << legs_.size() << ")");
    QL_REQUIRE(currency_.size() == legs_.size(), "MultiLegOption: currency size (" << currency_.size()
                                                                                   << ") does not match legs size ("
                                                                                   << legs_.size() << ")");
    // find maturity date
 
    maturity_ = Date::minDate();
    for (auto const& l : legs_) {
        if (!l.empty())
            maturity_ = std::max(maturity_, l.back()->date());
    }
 
    // register with underlying cashflows
 
    for (auto const& l : legs_) {
        for (auto const& c : l) {
            registerWith(c);
            if (auto lazy = QuantLib::ext::dynamic_pointer_cast<LazyObject>(c))
                lazy->alwaysForwardNotifications();
        }
    }
 
} // MultiLegOption

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Member Function Documentation

legs()

const std::vector< Leg > & legs

(

)

const

Definition at line 48 of file multilegoption.hpp.

{ return legs_; }

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payer()

const std::vector< bool > & payer

(

)

const

Definition at line 49 of file multilegoption.hpp.

{ return payer_; }

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currency()

const std::vector< Currency > & currency

(

)

const

Definition at line 50 of file multilegoption.hpp.

{ return currency_; }

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exercise()

const QuantLib::ext::shared_ptr< Exercise > exercise

(

)

const

Definition at line 51 of file multilegoption.hpp.

{ return exercise_; }

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settlementType()

const Settlement::Type settlementType

(

)

const

Definition at line 52 of file multilegoption.hpp.

{ return settlementType_; }

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settlementMethod()

const Settlement::Method settlementMethod

(

)

const

Definition at line 53 of file multilegoption.hpp.

{ return settlementMethod_; }

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deepUpdate()

void deepUpdate ( )

override

Definition at line 57 of file multilegoption.cpp.

                                {
    for (auto& l : legs_) {
        for (auto& c : l) {
            if (auto lazy = QuantLib::ext::dynamic_pointer_cast<LazyObject>(c))
                lazy->deepUpdate();
        }
    }
    update();
}

isExpired()

bool isExpired ( ) const

override

Definition at line 67 of file multilegoption.cpp.

                                     {
    Date today = Settings::instance().evaluationDate();
    if (exercise_ == nullptr || exercise_->dates().empty()) {
        return today >= maturityDate();
    } else {
        // only the option itself is represented, not something we exercised into
        return today >= exercise_->dates().back();
    }
}

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setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 83 of file multilegoption.cpp.

                                                                      {
    MultiLegOption::arguments* tmp = dynamic_cast<MultiLegOption::arguments*>(args);
    QL_REQUIRE(tmp != nullptr, "MultiLegOption: wrong pricing engine argument type");
    tmp->legs = legs_;
    tmp->payer = payer_;
    tmp->currency = currency_;
    tmp->exercise = exercise_;
    tmp->settlementType = settlementType_;
    tmp->settlementMethod = settlementMethod_;
}

fetchResults()

void fetchResults ( const PricingEngine::results *  r ) const

override

Definition at line 94 of file multilegoption.cpp.

                                                                     {
    Instrument::fetchResults(r);
    const MultiLegOption::results* results = dynamic_cast<const MultiLegOption::results*>(r);
    if (results) {
        underlyingNpv_ = results->underlyingNpv;
    } else {
        underlyingNpv_ = Null<Real>();
    }
}

maturityDate()

const Date & maturityDate

(

)

const

Definition at line 60 of file multilegoption.hpp.

{ return maturity_; }

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underlyingNpv()

Real underlyingNpv

(

)

const

Definition at line 77 of file multilegoption.cpp.

                                         {
    calculate();
    QL_REQUIRE(underlyingNpv_ != Null<Real>(), "MultiLegOption: underlying npv not available");
    return underlyingNpv_;
}

Member Data Documentation

legs_

const std::vector<Leg> legs_

private

Definition at line 64 of file multilegoption.hpp.

payer_

const std::vector<bool> payer_

private

Definition at line 65 of file multilegoption.hpp.

currency_

const std::vector<Currency> currency_

private

Definition at line 66 of file multilegoption.hpp.

exercise_

const QuantLib::ext::shared_ptr<Exercise> exercise_

private

Definition at line 67 of file multilegoption.hpp.

settlementType_

const Settlement::Type settlementType_

private

Definition at line 68 of file multilegoption.hpp.

settlementMethod_

const Settlement::Method settlementMethod_

private

Definition at line 69 of file multilegoption.hpp.

maturity_

Date maturity_

private

Definition at line 70 of file multilegoption.hpp.

underlyingNpv_

Real underlyingNpv_

mutableprivate

Definition at line 72 of file multilegoption.hpp.