QuantLib: a free/open-source library for quantitative finance
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Public Types | Public Member Functions | List of all members
QuantoDoubleBarrierOption Class Reference

Quanto version of a double barrier option. More...

#include <ql/experimental/barrieroption/quantodoublebarrieroption.hpp>

+ Inheritance diagram for QuantoDoubleBarrierOption:
+ Collaboration diagram for QuantoDoubleBarrierOption:

Public Types

typedef DoubleBarrierOption::arguments arguments
 
typedef QuantoOptionResults< DoubleBarrierOption::resultsresults
 
- Public Types inherited from Option
enum  Type { Put = -1 , Call = 1 }
 
- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Public Member Functions

 QuantoDoubleBarrierOption (DoubleBarrier::Type barrierType, Real barrier_lo, Real barrier_hi, Real rebate, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
 
- Public Member Functions inherited from DoubleBarrierOption
 DoubleBarrierOption (DoubleBarrier::Type barrierType, Real barrier_lo, Real barrier_hi, Real rebate, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
 
void setupArguments (PricingEngine::arguments *) const override
 
Volatility impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
 
- 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 >
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 ()
 

greeks

Real qvega_
 
Real qrho_
 
Real qlambda_
 
Real qvega () const
 
Real qrho () const
 
Real qlambda () const
 
void fetchResults (const PricingEngine::results *) const override
 
void setupExpired () const override
 

Additional Inherited Members

- 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
- Protected Attributes inherited from DoubleBarrierOption
DoubleBarrier::Type barrierType_
 
Real barrier_lo_
 
Real barrier_hi_
 
Real rebate_
 
- 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_
 

Detailed Description

Quanto version of a double barrier option.

Definition at line 34 of file quantodoublebarrieroption.hpp.

Member Typedef Documentation

◆ arguments

Definition at line 36 of file quantodoublebarrieroption.hpp.

◆ results

Definition at line 37 of file quantodoublebarrieroption.hpp.

Constructor & Destructor Documentation

◆ QuantoDoubleBarrierOption()

QuantoDoubleBarrierOption ( DoubleBarrier::Type  barrierType,
Real  barrier_lo,
Real  barrier_hi,
Real  rebate,
const ext::shared_ptr< StrikedTypePayoff > &  payoff,
const ext::shared_ptr< Exercise > &  exercise 
)

Definition at line 24 of file quantodoublebarrieroption.cpp.

Member Function Documentation

◆ qvega()

Real qvega ( ) const

Definition at line 33 of file quantodoublebarrieroption.cpp.

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◆ qrho()

Real qrho ( ) const

Definition at line 40 of file quantodoublebarrieroption.cpp.

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◆ qlambda()

Real qlambda ( ) const

Definition at line 47 of file quantodoublebarrieroption.cpp.

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◆ fetchResults()

void fetchResults ( const PricingEngine::results r) const
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 59 of file quantodoublebarrieroption.cpp.

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◆ setupExpired()

void setupExpired ( ) const
overrideprivatevirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

Definition at line 54 of file quantodoublebarrieroption.cpp.

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Member Data Documentation

◆ qvega_

Real qvega_
mutableprivate

Definition at line 57 of file quantodoublebarrieroption.hpp.

◆ qrho_

Real qrho_
private

Definition at line 57 of file quantodoublebarrieroption.hpp.

◆ qlambda_

Real qlambda_
private

Definition at line 57 of file quantodoublebarrieroption.hpp.