Quanto version of a barrier option. More...
#include <ql/instruments/quantobarrieroption.hpp>
Inheritance diagram for QuantoBarrierOption:
Collaboration diagram for QuantoBarrierOption:
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) |
Detailed Description
Quanto version of a barrier option.
Definition at line 34 of file quantobarrieroption.hpp.
Member Typedef Documentation
◆ arguments
| typedef BarrierOption::arguments arguments |
Definition at line 36 of file quantobarrieroption.hpp.
◆ results
Definition at line 37 of file quantobarrieroption.hpp.
Constructor & Destructor Documentation
◆ QuantoBarrierOption()
| 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.
Member Function Documentation
◆ qvega()
| Real qvega | ( | ) | const |
◆ qrho()
| Real qrho | ( | ) | const |
◆ qlambda()
| Real qlambda | ( | ) | const |
◆ 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 OneAssetOption.
Definition at line 58 of file quantobarrieroption.cpp.
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◆ setupExpired()
|
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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Member Data Documentation
◆ qvega_
|
mutableprivate |
Definition at line 56 of file quantobarrieroption.hpp.
◆ qrho_
|
private |
Definition at line 56 of file quantobarrieroption.hpp.
◆ qlambda_
|
private |
Definition at line 56 of file quantobarrieroption.hpp.