OutperformanceOption::arguments Class Reference

Arguments for Outperformance option calculation More...

#include <qle/instruments/outperformanceoption.hpp>

Inheritance diagram for OutperformanceOption::arguments:

Collaboration diagram for OutperformanceOption::arguments:

Public Member Functions
void	validate () const override

Public Attributes
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

Detailed Description

Arguments for Outperformance option calculation

Definition at line 84 of file outperformanceoption.hpp.

Member Function Documentation

validate()

void validate ( ) const

override

Definition at line 69 of file outperformanceoption.cpp.

                                                       {
        QL_REQUIRE(exercise, "exercise not set");
    }

Member Data Documentation

exercise

QuantLib::ext::shared_ptr<Exercise> exercise

Definition at line 86 of file outperformanceoption.hpp.

optionType

Option::Type optionType

Definition at line 87 of file outperformanceoption.hpp.

strikeReturn

Real strikeReturn

Definition at line 88 of file outperformanceoption.hpp.

initialValue1

Real initialValue1

Definition at line 89 of file outperformanceoption.hpp.

initialValue2

Real initialValue2

Definition at line 90 of file outperformanceoption.hpp.

notional

Real notional

Definition at line 91 of file outperformanceoption.hpp.

knockInPrice

Real knockInPrice

Definition at line 92 of file outperformanceoption.hpp.

knockOutPrice

Real knockOutPrice

Definition at line 93 of file outperformanceoption.hpp.

fxIndex1

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

Definition at line 94 of file outperformanceoption.hpp.

fxIndex2

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

Definition at line 95 of file outperformanceoption.hpp.