#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< 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 ()=default

	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 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< 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_

Related Functions inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

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.

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◆ 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.

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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.

Classes

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ VanillaVPPOption()

Member Function Documentation

◆ isExpired()

◆ setupArguments()

Member Data Documentation

◆ heatRate_

◆ pMin_

◆ pMax_

◆ tMinUp_

◆ tMinDown_

◆ startUpFuel_

◆ startUpFixCost_

◆ nStarts_

◆ nRunningHours_