Vanilla Forward option on a single asset. More...

#include <qle/instruments/vanillaforwardoption.hpp>

Inheritance diagram for VanillaForwardOption:

Collaboration diagram for VanillaForwardOption:

Classes
class	arguments
	Arguments for Vanilla Forward Option calculation More...

class	engine
	base class for swaption engines More...

Public Member Functions
	VanillaForwardOption (const QuantLib::ext::shared_ptr< QuantLib::StrikedTypePayoff > &payoff, const QuantLib::ext::shared_ptr< QuantLib::Exercise > &exercise, const QuantLib::Date &forwardDate, const QuantLib::Date &paymentDate)

	VanillaForwardOption (const QuantLib::ext::shared_ptr< QuantLib::StrikedTypePayoff > &payoff, const QuantLib::ext::shared_ptr< QuantLib::Exercise > &exercise, const QuantLib::Date &forwardDate)

void	setupArguments (QuantLib::PricingEngine::arguments *) const override

Private Attributes
QuantLib::Date	forwardDate_

QuantLib::Date	paymentDate_

Detailed Description

Vanilla Forward option on a single asset.

Definition at line 35 of file vanillaforwardoption.hpp.

Constructor & Destructor Documentation

◆ VanillaForwardOption() [1/2]

VanillaForwardOption	(	const QuantLib::ext::shared_ptr< QuantLib::StrikedTypePayoff > &	payoff,
		const QuantLib::ext::shared_ptr< QuantLib::Exercise > &	exercise,
		const QuantLib::Date &	forwardDate,
		const QuantLib::Date &	paymentDate
	)

Definition at line 39 of file vanillaforwardoption.hpp.

42 : VanillaOption(payoff, exercise), forwardDate_(forwardDate), paymentDate_(paymentDate) {}

QuantExt::VanillaForwardOption::paymentDate_

QuantLib::Date paymentDate_

Definition: vanillaforwardoption.hpp:52

QuantExt::VanillaForwardOption::forwardDate_

QuantLib::Date forwardDate_

Definition: vanillaforwardoption.hpp:51

◆ VanillaForwardOption() [2/2]

VanillaForwardOption	(	const QuantLib::ext::shared_ptr< QuantLib::StrikedTypePayoff > &	payoff,
		const QuantLib::ext::shared_ptr< QuantLib::Exercise > &	exercise,
		const QuantLib::Date &	forwardDate
	)

Definition at line 44 of file vanillaforwardoption.hpp.

46 : VanillaOption(payoff, exercise), forwardDate_(forwardDate) {}

Member Function Documentation

◆ setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments * args ) const

override

Definition at line 63 of file vanillaforwardoption.hpp.

                                                                                               {
        VanillaOption::setupArguments(args);
        
        VanillaForwardOption::arguments* arguments =
            dynamic_cast<VanillaForwardOption::arguments*>(args);
        QL_REQUIRE(arguments != 0, "wrong argument type");
 
        arguments->forwardDate = forwardDate_;
        arguments->paymentDate = paymentDate_;
    }

Member Data Documentation

◆ forwardDate_

QuantLib::Date forwardDate_

private

Definition at line 51 of file vanillaforwardoption.hpp.

◆ paymentDate_