OutperformanceOption Class Reference

Outperformance option. More...

#include <qle/instruments/outperformanceoption.hpp>

Inheritance diagram for OutperformanceOption:

Collaboration diagram for OutperformanceOption:

Classes
class	arguments
	Arguments for Outperformance option calculation More...
class	engine
	base class for outperformance option engines More...
class	results
	Results from Outperformance option calculation More...

Public Member Functions
	OutperformanceOption (const QuantLib::ext::shared_ptr< Exercise > &exercise, const Option::Type optionType, const Real strikeReturn, const Real initialValue1, const Real initialValue2, const Real notional, const Real knockInPrice=Null< Real >(), const Real knockOutPrice=Null< Real >(), QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex1=nullptr, QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex2=nullptr)

Instrument interface
QuantLib::ext::shared_ptr< Exercise >	exercise_
Option::Type	optionType_
Real	strikeReturn_
Real	initialValue1_
Real	initialValue2_
Real	notional_
Real	knockInPrice_
Real	knockOutPrice_
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex1_
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex2_
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
QuantLib::ext::shared_ptr< Exercise >	exercise () const
Option::Type	optionType () const
Real	strikeReturn () const
Real	initialValue1 () const
Real	initialValue2 () const
Real	notional () const
Real	knockInPrice () const
Real	knockOutPrice () const
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex1 () const
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex2 () const
void	setupExpired () const override
void	fetchResults (const PricingEngine::results *) const override

Detailed Description

Outperformance option.

Definition at line 41 of file outperformanceoption.hpp.

Constructor & Destructor Documentation

OutperformanceOption()

OutperformanceOption	(	const QuantLib::ext::shared_ptr< Exercise > &	exercise,
		const Option::Type	optionType,
		const Real	strikeReturn,
		const Real	initialValue1,
		const Real	initialValue2,
		const Real	notional,
		const Real	knockInPrice = Null<Real>(),
		const Real	knockOutPrice = Null<Real>(),
		QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex1 = nullptr,
		QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex2 = nullptr
	)

Definition at line 34 of file outperformanceoption.cpp.

    : exercise_(exercise), optionType_(optionType), strikeReturn_(strikeReturn), initialValue1_(initialValue1), initialValue2_(initialValue2), notional_(notional),
        knockInPrice_(knockInPrice), knockOutPrice_(knockOutPrice), fxIndex1_(fxIndex1), fxIndex2_(fxIndex2) {}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 39 of file outperformanceoption.cpp.

                                               {
        return detail::simple_event(exercise_->dates().back()).hasOccurred();
    }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 47 of file outperformanceoption.cpp.

                                                                           {
 
        OutperformanceOption::arguments* arguments =
            dynamic_cast<OutperformanceOption::arguments*>(args);
 
        QL_REQUIRE(arguments != 0, "wrong argument type");
 
        arguments->exercise = exercise_;
        arguments->optionType = optionType_;
        arguments->strikeReturn = strikeReturn_;
        arguments->initialValue1 = initialValue1_;
        arguments->initialValue2 = initialValue2_;
        arguments->notional = notional_;
        arguments->knockInPrice = knockInPrice_;
        arguments->knockOutPrice = knockOutPrice_;
        arguments->knockInPrice = knockInPrice_;
        arguments->fxIndex1 = fxIndex1_;
        arguments->fxIndex2 = fxIndex2_;
 
    }

exercise()

QuantLib::ext::shared_ptr< Exercise > exercise

(

)

const

Definition at line 57 of file outperformanceoption.hpp.

{ return exercise_; }

optionType()

Option::Type optionType

(

)

const

Definition at line 58 of file outperformanceoption.hpp.

{ return optionType_; }

strikeReturn()

Real strikeReturn

(

)

const

Definition at line 59 of file outperformanceoption.hpp.

{ return strikeReturn_; }

initialValue1()

Real initialValue1

(

)

const

Definition at line 60 of file outperformanceoption.hpp.

{ return initialValue1_; }

initialValue2()

Real initialValue2

(

)

const

Definition at line 61 of file outperformanceoption.hpp.

{ return initialValue2_; }

notional()

Real notional

(

)

const

Definition at line 62 of file outperformanceoption.hpp.

{ return notional_; }

knockInPrice()

Real knockInPrice

(

)

const

Definition at line 63 of file outperformanceoption.hpp.

{ return knockInPrice_; }

knockOutPrice()

Real knockOutPrice

(

)

const

Definition at line 64 of file outperformanceoption.hpp.

{ return knockOutPrice_; }

fxIndex1()

QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex1

(

)

const

Definition at line 65 of file outperformanceoption.hpp.

{ return fxIndex1_; }

fxIndex2()

QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex2

(

)

const

Definition at line 66 of file outperformanceoption.hpp.

{ return fxIndex2_; }

setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 43 of file outperformanceoption.cpp.

                                                  {
        NPV_ =  0.0;
    }

fetchResults()

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

overrideprivate

Definition at line 73 of file outperformanceoption.cpp.

                                                                               {
        Instrument::fetchResults(r);
        const OutperformanceOption::results* results =
            dynamic_cast<const OutperformanceOption::results*>(r);
 
        QL_ENSURE(results != 0,
                  "wrong result type");
    }

Member Data Documentation

exercise_

QuantLib::ext::shared_ptr<Exercise> exercise_

private

Definition at line 71 of file outperformanceoption.hpp.

optionType_

Option::Type optionType_

private

Definition at line 72 of file outperformanceoption.hpp.

strikeReturn_

Real strikeReturn_

private

Definition at line 73 of file outperformanceoption.hpp.

initialValue1_

Real initialValue1_

private

Definition at line 74 of file outperformanceoption.hpp.

initialValue2_

Real initialValue2_

private

Definition at line 75 of file outperformanceoption.hpp.

notional_

Real notional_

private

Definition at line 76 of file outperformanceoption.hpp.

knockInPrice_

Real knockInPrice_

private

Definition at line 77 of file outperformanceoption.hpp.

knockOutPrice_

Real knockOutPrice_

private

Definition at line 78 of file outperformanceoption.hpp.

fxIndex1_

QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex1_

private

Definition at line 79 of file outperformanceoption.hpp.

fxIndex2_

QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex2_

private

Definition at line 80 of file outperformanceoption.hpp.