Writer-extensible option. More...

#include <writerextensibleoption.hpp>

Inheritance diagram for WriterExtensibleOption:

Collaboration diagram for WriterExtensibleOption:

Classes
class	arguments
	Additional arguments for writer-extensible option. More...

class	engine
	Base engine. More...

Public Member Functions
	WriterExtensibleOption (const ext::shared_ptr< PlainVanillaPayoff > &payoff1, const ext::shared_ptr< Exercise > &exercise1, const ext::shared_ptr< PlainVanillaPayoff > &payoff2, ext::shared_ptr< Exercise > exercise2)

ext::shared_ptr< Payoff >	payoff2 ()

ext::shared_ptr< Exercise >	exercise2 ()

bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...

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< 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 ()

Private Attributes
ext::shared_ptr< StrikedTypePayoff >	payoff2_

ext::shared_ptr< Exercise >	exercise2_

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
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

Writer-extensible option.

Definition at line 34 of file writerextensibleoption.hpp.

Constructor & Destructor Documentation

◆ WriterExtensibleOption()

WriterExtensibleOption	(	const ext::shared_ptr< PlainVanillaPayoff > &	payoff1,
		const ext::shared_ptr< Exercise > &	exercise1,
		const ext::shared_ptr< PlainVanillaPayoff > &	payoff2,
		ext::shared_ptr< Exercise >	exercise2
	)

Parameters

payoff1	The first payoff
exercise1	The first exercise date
payoff2	The payoff of the extended option
exercise2	The second exercise date

Definition at line 26 of file writerextensibleoption.cpp.

Member Function Documentation

◆ payoff2()

ext::shared_ptr< Payoff > payoff2 ( )

Definition at line 49 of file writerextensibleoption.hpp.

◆ exercise2()

ext::shared_ptr< Exercise > exercise2 ( )

Definition at line 50 of file writerextensibleoption.hpp.

◆ isExpired()

bool isExpired ( ) const

overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

Definition at line 44 of file writerextensibleoption.cpp.

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◆ 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 Instrument.

Definition at line 33 of file writerextensibleoption.cpp.

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Member Data Documentation

◆ payoff2_

ext::shared_ptr<StrikedTypePayoff> payoff2_

private

Definition at line 56 of file writerextensibleoption.hpp.

◆ exercise2_

ext::shared_ptr<Exercise> exercise2_