base option class More...
#include <option.hpp>
Inheritance diagram for Option:
Collaboration diagram for Option:
Classes | |
| class | arguments |
| basic option arguments More... | |
Public Types | |
| enum | Type { Put = -1 , Call = 1 } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
Public Member Functions | |
| 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... | |
| virtual bool | isExpired () const =0 |
| returns whether the instrument might have value greater than zero. More... | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| virtual void | fetchResults (const PricingEngine::results *) const |
| 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 () |
Protected Attributes | |
| 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 | |
(Note that these are not member functions.) | |
| std::ostream & | operator<< (std::ostream &, Option::Type) |
Additional Inherited Members | |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| virtual void | setupExpired () const |
| void | performCalculations () const override |
| Protected Member Functions inherited from LazyObject | |
Detailed Description
base option class
Definition at line 36 of file option.hpp.
Member Enumeration Documentation
◆ Type
| enum Type |
| Enumerator | |
|---|---|
| Put | |
| Call | |
Definition at line 39 of file option.hpp.
Constructor & Destructor Documentation
◆ Option()
Definition at line 42 of file option.hpp.
Member Function Documentation
◆ 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 92 of file option.hpp.
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◆ payoff()
| ext::shared_ptr< Payoff > payoff | ( | ) | const |
◆ exercise()
| ext::shared_ptr< Exercise > exercise | ( | ) | const |
Friends And Related Function Documentation
◆ operator<<()
|
related |
Definition at line 100 of file option.hpp.
Member Data Documentation
◆ payoff_
|
protected |
Definition at line 49 of file option.hpp.
◆ exercise_
|
protected |
Definition at line 50 of file option.hpp.