QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Classes | Public Member Functions | Private Attributes | List of all members
VanillaVPPOption Class Reference

#include <vanillavppoption.hpp>

+ Inheritance diagram for VanillaVPPOption:
+ Collaboration diagram for VanillaVPPOption:

Classes

class  arguments
 

Public Member Functions

 VanillaVPPOption (Real heatRate, Real pMin, Real pMax, Size tMinUp, Size tMinDown, Real startUpFuel, Real startUpFixCost, const ext::shared_ptr< SwingExercise > &exercise, Size nStarts=Null< Size >(), Size nRunningHours=Null< Size >())
 
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 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< Payoffpayoff () const
 
ext::shared_ptr< Exerciseexercise () 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 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...
 
- 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 Attributes

const Real heatRate_
 
const Real pMin_
 
const Real pMax_
 
const Size tMinUp_
 
const Size tMinDown_
 
const Real startUpFuel_
 
const Real startUpFixCost_
 
const Size nStarts_
 
const Size nRunningHours_
 

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
- 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< Payoffpayoff_
 
ext::shared_ptr< Exerciseexercise_
 
- 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

Definition at line 33 of file vanillavppoption.hpp.

Constructor & Destructor Documentation

◆ VanillaVPPOption()

VanillaVPPOption ( Real  heatRate,
Real  pMin,
Real  pMax,
Size  tMinUp,
Size  tMinDown,
Real  startUpFuel,
Real  startUpFixCost,
const ext::shared_ptr< SwingExercise > &  exercise,
Size  nStarts = Null<Size>(),
Size  nRunningHours = Null<Size>() 
)

Definition at line 40 of file vanillavppoption.cpp.

Member Function Documentation

◆ isExpired()

bool isExpired ( ) const
overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

Definition at line 87 of file vanillavppoption.cpp.

+ Here is the call graph for this function:

◆ 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 68 of file vanillavppoption.cpp.

+ Here is the call graph for this function:

Member Data Documentation

◆ heatRate_

const Real heatRate_
private

Definition at line 48 of file vanillavppoption.hpp.

◆ pMin_

const Real pMin_
private

Definition at line 49 of file vanillavppoption.hpp.

◆ pMax_

const Real pMax_
private

Definition at line 49 of file vanillavppoption.hpp.

◆ tMinUp_

const Size tMinUp_
private

Definition at line 50 of file vanillavppoption.hpp.

◆ tMinDown_

const Size tMinDown_
private

Definition at line 50 of file vanillavppoption.hpp.

◆ startUpFuel_

const Real startUpFuel_
private

Definition at line 51 of file vanillavppoption.hpp.

◆ startUpFixCost_

const Real startUpFixCost_
private

Definition at line 51 of file vanillavppoption.hpp.

◆ nStarts_

const Size nStarts_
private

Definition at line 52 of file vanillavppoption.hpp.

◆ nRunningHours_

const Size nRunningHours_
private

Definition at line 52 of file vanillavppoption.hpp.