QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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vanillavppoption.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2011 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file vanillavppoption.hpp
21 \brief vanilla virtual power plant option
22*/
23
24#ifndef quantlib_vanilla_vpp_option_hpp
25#define quantlib_vanilla_vpp_option_hpp
26
28
29namespace QuantLib {
30 class BasketPayoff;
31 class SwingExercise;
32
34 public:
35 class arguments;
36 VanillaVPPOption(Real heatRate,
37 Real pMin, Real pMax,
38 Size tMinUp, Size tMinDown,
39 Real startUpFuel, Real startUpFixCost,
40 const ext::shared_ptr<SwingExercise>& exercise,
41 Size nStarts = Null<Size>(),
42 Size nRunningHours = Null<Size>());
43
44 bool isExpired() const override;
45 void setupArguments(PricingEngine::arguments*) const override;
46
47 private:
53 };
54
56 : public virtual MultiAssetOption::arguments {
57 public:
58 arguments() = default;
59 void validate() const override;
60
66 };
67}
68
69#endif
Base class for options on multiple assets.
template class providing a null value for a given type.
Definition: null.hpp:76
basic option arguments
Definition: option.hpp:57
ext::shared_ptr< Exercise > exercise() const
Definition: option.hpp:46
void setupArguments(PricingEngine::arguments *) const override
bool isExpired() const override
returns whether the instrument might have value greater than zero.
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Option on multiple assets.
Definition: any.hpp:35