QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Quanto version of a barrier option. More...
#include <quantobarrieroption.hpp>
Public Types | |
typedef BarrierOption::arguments | arguments |
typedef QuantoOptionResults< BarrierOption::results > | results |
Public Types inherited from Option | |
enum | Type { Put = -1 , Call = 1 } |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Public Member Functions | |
QuantoBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise) | |
Public Member Functions inherited from BarrierOption | |
BarrierOption (Barrier::Type barrierType, Real barrier, 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 |
Volatility | impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const DividendSchedule ÷nds, 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 |
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 | 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 | |
Protected Member Functions inherited from Instrument | |
void | calculate () const override |
void | performCalculations () const override |
Protected Member Functions inherited from LazyObject | |
Protected Attributes inherited from BarrierOption | |
Barrier::Type | barrierType_ |
Real | barrier_ |
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< 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) |
Quanto version of a barrier option.
Definition at line 34 of file quantobarrieroption.hpp.
typedef BarrierOption::arguments arguments |
Definition at line 36 of file quantobarrieroption.hpp.
Definition at line 37 of file quantobarrieroption.hpp.
QuantoBarrierOption | ( | Barrier::Type | barrierType, |
Real | barrier, | ||
Real | rebate, | ||
const ext::shared_ptr< StrikedTypePayoff > & | payoff, | ||
const ext::shared_ptr< Exercise > & | exercise | ||
) |
Definition at line 24 of file quantobarrieroption.cpp.
Real qvega | ( | ) | const |
Real qrho | ( | ) | const |
Real qlambda | ( | ) | const |
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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 OneAssetOption.
Definition at line 58 of file quantobarrieroption.cpp.
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overrideprivatevirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from OneAssetOption.
Definition at line 53 of file quantobarrieroption.cpp.
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mutableprivate |
Definition at line 56 of file quantobarrieroption.hpp.
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private |
Definition at line 56 of file quantobarrieroption.hpp.
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private |
Definition at line 56 of file quantobarrieroption.hpp.