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ContinuousPartialFixedLookbackOption Class Reference

Continuous-partial-fixed lookback option. More...

#include <lookbackoption.hpp>

+ Inheritance diagram for ContinuousPartialFixedLookbackOption:
+ Collaboration diagram for ContinuousPartialFixedLookbackOption:

Classes

class  arguments
 Arguments for continuous partial fixed lookback option calculation More...
 
class  engine
 Continuous partial fixed lookback engine base class More...
 

Public Member Functions

 ContinuousPartialFixedLookbackOption (Date lookbackPeriodStart, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
 
void setupArguments (PricingEngine::arguments *) const override
 
- Public Member Functions inherited from ContinuousFixedLookbackOption
 ContinuousFixedLookbackOption (Real currentMinmax, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
 
void setupArguments (PricingEngine::arguments *) const override
 
- Public Member Functions inherited from OneAssetOption
 OneAssetOption (const ext::shared_ptr< Payoff > &, const ext::shared_ptr< Exercise > &)
 
bool isExpired () const override
 returns whether the instrument might have value greater than zero. More...
 
Real delta () const
 
Real deltaForward () const
 
Real elasticity () const
 
Real gamma () const
 
Real theta () const
 
Real thetaPerDay () const
 
Real vega () const
 
Real rho () const
 
Real dividendRho () const
 
Real strikeSensitivity () const
 
Real itmCashProbability () const
 
void fetchResults (const PricingEngine::results *) const override
 
- 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< Payoffpayoff () const
 
ext::shared_ptr< Exerciseexercise () 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 DatevaluationDate () 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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 ()
 

Protected Attributes

Date lookbackPeriodStart_
 
- Protected Attributes inherited from ContinuousFixedLookbackOption
Real minmax_
 
- Protected Attributes inherited from OneAssetOption
Real delta_
 
Real deltaForward_
 
Real elasticity_
 
Real gamma_
 
Real theta_
 
Real thetaPerDay_
 
Real vega_
 
Real rho_
 
Real dividendRho_
 
Real strikeSensitivity_
 
Real itmCashProbability_
 
- Protected Attributes inherited from Option
ext::shared_ptr< Payoffpayoff_
 
ext::shared_ptr< Exerciseexercise_
 
- Protected Attributes inherited from Instrument
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, ext::any > additionalResults_
 
ext::shared_ptr< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

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 OneAssetOption
void setupExpired () const override
 
- Protected Member Functions inherited from Instrument
void calculate () const override
 
void performCalculations () const override
 
- Protected Member Functions inherited from LazyObject

Detailed Description

Continuous-partial-fixed lookback option.

From http://help.rmetrics.org/fExoticOptions/LookbackOptions.html :

For a partial-time fixed strike lookback option, the lookback period starts at a predetermined date after the initialization date of the option. The partial-time fixed strike lookback call option payoff is given by the difference between the maximum observed price of the underlying asset during the lookback period and the fixed strike price. The partial-time fixed strike lookback put option payoff is given by the difference between the fixed strike price and the minimum observed price of the underlying asset during the lookback period. The partial-time fixed strike lookback option is cheaper than a similar standard fixed strike lookback option. Partial-time fixed strike lookback options can be priced analytically using a model introduced by Heynen and Kat (1994).

Definition at line 122 of file lookbackoption.hpp.

Constructor & Destructor Documentation

◆ ContinuousPartialFixedLookbackOption()

ContinuousPartialFixedLookbackOption ( Date  lookbackPeriodStart,
const ext::shared_ptr< StrikedTypePayoff > &  payoff,
const ext::shared_ptr< Exercise > &  exercise 
)

Definition at line 121 of file lookbackoption.cpp.

Member Function Documentation

◆ setupArguments()

void setupArguments ( PricingEngine::arguments ) const
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 ContinuousFixedLookbackOption.

Definition at line 128 of file lookbackoption.cpp.

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Member Data Documentation

◆ lookbackPeriodStart_

Date lookbackPeriodStart_
protected

Definition at line 134 of file lookbackoption.hpp.