QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Option on risky asset swap More...
#include <riskyassetswapoption.hpp>
Public Member Functions | |
RiskyAssetSwapOption (ext::shared_ptr< RiskyAssetSwap > asw, const Date &expiry, Rate marketSpread, Volatility spreadVolatility) | |
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... | |
virtual void | setupArguments (PricingEngine::arguments *) const |
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 () |
Private Member Functions | |
bool | isExpired () const override |
returns whether the instrument might have value greater than zero. More... | |
void | performCalculations () const override |
Private Attributes | |
ext::shared_ptr< RiskyAssetSwap > | asw_ |
Date | expiry_ |
Rate | marketSpread_ |
Volatility | spreadVolatility_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from Instrument | |
void | calculate () const override |
virtual void | setupExpired () const |
void | performCalculations () const override |
Protected Member Functions inherited from LazyObject | |
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_ |
Option on risky asset swap
Definition at line 32 of file riskyassetswapoption.hpp.
RiskyAssetSwapOption | ( | ext::shared_ptr< RiskyAssetSwap > | asw, |
const Date & | expiry, | ||
Rate | marketSpread, | ||
Volatility | spreadVolatility | ||
) |
Definition at line 27 of file riskyassetswapoption.cpp.
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overrideprivatevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Definition at line 34 of file riskyassetswapoption.cpp.
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overrideprivatevirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 39 of file riskyassetswapoption.cpp.
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private |
Definition at line 43 of file riskyassetswapoption.hpp.
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private |
Definition at line 44 of file riskyassetswapoption.hpp.
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private |
Definition at line 45 of file riskyassetswapoption.hpp.
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private |
Definition at line 46 of file riskyassetswapoption.hpp.