Base class for options on multiple assets. More...
#include <multiassetoption.hpp>
Inheritance diagram for MultiAssetOption:
Collaboration diagram for MultiAssetOption:
Classes | |
| class | engine |
| class | results |
| Results from multi-asset option calculation More... | |
Public Member Functions | |
| MultiAssetOption (const ext::shared_ptr< Payoff > &, const ext::shared_ptr< Exercise > &) | |
Instrument interface | |
| bool | isExpired () const override |
| returns whether the instrument might have value greater than zero. More... | |
| Public Member Functions inherited from Option | |
| Option (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< Exercise > exercise) | |
| void | setupArguments (PricingEngine::arguments *) const override |
| ext::shared_ptr< Payoff > | payoff () const |
| ext::shared_ptr< Exercise > | exercise () const |
| Public Member Functions inherited from Instrument | |
| Instrument () | |
| Real | NPV () const |
| returns the net present value of the instrument. More... | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. More... | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. More... | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. More... | |
| const std::map< std::string, ext::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. More... | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| Public Member Functions inherited from LazyObject | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
greeks | |
| Real | delta_ |
| Real | gamma_ |
| Real | theta_ |
| Real | vega_ |
| Real | rho_ |
| Real | dividendRho_ |
| Real | delta () const |
| Real | gamma () const |
| Real | theta () const |
| Real | vega () const |
| Real | rho () const |
| Real | dividendRho () const |
| void | setupArguments (PricingEngine::arguments *) const override |
| void | fetchResults (const PricingEngine::results *) const override |
| void | setupExpired () const override |
Additional Inherited Members | |
| Public Types inherited from Option | |
| enum | Type { Put = -1 , Call = 1 } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| void | performCalculations () const override |
| Protected Member Functions inherited from LazyObject | |
| Protected Attributes inherited from Option | |
| ext::shared_ptr< Payoff > | payoff_ |
| ext::shared_ptr< Exercise > | exercise_ |
| Protected Attributes inherited from Instrument | |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, ext::any > | additionalResults_ |
| ext::shared_ptr< PricingEngine > | engine_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
| Related Functions inherited from Option | |
| std::ostream & | operator<< (std::ostream &, Option::Type) |
Detailed Description
Base class for options on multiple assets.
Definition at line 34 of file multiassetoption.hpp.
Constructor & Destructor Documentation
◆ MultiAssetOption()
| MultiAssetOption | ( | const ext::shared_ptr< Payoff > & | payoff, |
| const ext::shared_ptr< Exercise > & | exercise | ||
| ) |
Definition at line 29 of file multiassetoption.cpp.
Member Function Documentation
◆ isExpired()
|
overridevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Definition at line 34 of file multiassetoption.cpp.
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◆ delta()
| Real delta | ( | ) | const |
◆ gamma()
| Real gamma | ( | ) | const |
◆ theta()
| Real theta | ( | ) | const |
◆ vega()
| Real vega | ( | ) | const |
◆ rho()
| Real rho | ( | ) | const |
◆ dividendRho()
| Real dividendRho | ( | ) | const |
◆ setupArguments()
|
overridevirtual |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Definition at line 79 of file multiassetoption.cpp.
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◆ fetchResults()
|
overridevirtual |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Definition at line 88 of file multiassetoption.cpp.
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◆ setupExpired()
|
overrideprotectedvirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
Definition at line 74 of file multiassetoption.cpp.
Member Data Documentation
◆ delta_
|
mutableprotected |
Definition at line 59 of file multiassetoption.hpp.
◆ gamma_
|
protected |
Definition at line 59 of file multiassetoption.hpp.
◆ theta_
|
protected |
Definition at line 59 of file multiassetoption.hpp.
◆ vega_
|
protected |
Definition at line 60 of file multiassetoption.hpp.
◆ rho_
|
protected |
Definition at line 60 of file multiassetoption.hpp.
◆ dividendRho_
|
protected |
Definition at line 60 of file multiassetoption.hpp.