QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Member Functions | Private Attributes | List of all members
RiskyAssetSwapOption Class Reference

Option on risky asset swap More...

#include <riskyassetswapoption.hpp>

+ Inheritance diagram for RiskyAssetSwapOption:
+ Collaboration diagram for RiskyAssetSwapOption:

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 DatevaluationDate () 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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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< RiskyAssetSwapasw_
 
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< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

Option on risky asset swap

Definition at line 32 of file riskyassetswapoption.hpp.

Constructor & Destructor Documentation

◆ RiskyAssetSwapOption()

RiskyAssetSwapOption ( ext::shared_ptr< RiskyAssetSwap asw,
const Date expiry,
Rate  marketSpread,
Volatility  spreadVolatility 
)

Definition at line 27 of file riskyassetswapoption.cpp.

Member Function Documentation

◆ isExpired()

bool isExpired ( ) const
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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◆ performCalculations()

void performCalculations ( ) const
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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Member Data Documentation

◆ asw_

ext::shared_ptr<RiskyAssetSwap> asw_
private

Definition at line 43 of file riskyassetswapoption.hpp.

◆ expiry_

Date expiry_
private

Definition at line 44 of file riskyassetswapoption.hpp.

◆ marketSpread_

Rate marketSpread_
private

Definition at line 45 of file riskyassetswapoption.hpp.

◆ spreadVolatility_

Volatility spreadVolatility_
private

Definition at line 46 of file riskyassetswapoption.hpp.