QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Roofed Asian option on a number of assets. More...
#include <pagodaoption.hpp>
Classes | |
class | arguments |
class | engine |
Pagoda-option engine base class More... | |
Public Member Functions | |
PagodaOption (const std::vector< Date > &fixingDates, Real roof, Real fraction) | |
void | setupArguments (PricingEngine::arguments *) const override |
Public Member Functions inherited from MultiAssetOption | |
MultiAssetOption (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 | gamma () const |
Real | theta () const |
Real | vega () const |
Real | rho () const |
Real | dividendRho () const |
void | setupArguments (PricingEngine::arguments *) const override |
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 () |
Protected Attributes | |
std::vector< Date > | fixingDates_ |
Real | roof_ |
Real | fraction_ |
Protected Attributes inherited from MultiAssetOption | |
Real | delta_ |
Real | gamma_ |
Real | theta_ |
Real | vega_ |
Real | rho_ |
Real | dividendRho_ |
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_ |
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 MultiAssetOption | |
void | setupExpired () const override |
Protected Member Functions inherited from Instrument | |
void | calculate () const override |
void | performCalculations () const override |
Protected Member Functions inherited from LazyObject | |
Related Functions inherited from Option | |
std::ostream & | operator<< (std::ostream &, Option::Type) |
Roofed Asian option on a number of assets.
The payoff is a given fraction multiplied by the minimum between a given roof and the positive portfolio performance. If the performance of the portfolio is below then the payoff is null.
Definition at line 44 of file pagodaoption.hpp.
PagodaOption | ( | const std::vector< Date > & | fixingDates, |
Real | roof, | ||
Real | fraction | ||
) |
Definition at line 26 of file pagodaoption.cpp.
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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 35 of file pagodaoption.cpp.
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protected |
Definition at line 55 of file pagodaoption.hpp.
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protected |
Definition at line 56 of file pagodaoption.hpp.
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protected |
Definition at line 57 of file pagodaoption.hpp.