QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
Classes | Public Member Functions | Private Attributes | List of all members
CompoundOption Class Reference

Compound option (i.e., option on option) on a single asset. More...

#include <ql/instruments/compoundoption.hpp>

+ Inheritance diagram for CompoundOption:
+ Collaboration diagram for CompoundOption:

Classes

class  arguments
 
class  engine
 Compound-option engine base class More...
 

Public Member Functions

 CompoundOption (const ext::shared_ptr< StrikedTypePayoff > &motherPayoff, const ext::shared_ptr< Exercise > &motherExercise, ext::shared_ptr< StrikedTypePayoff > daughterPayoff, ext::shared_ptr< Exercise > daughterExercise)
 
void setupArguments (PricingEngine::arguments *) const override
 
- Public Member Functions inherited from OneAssetOption
 OneAssetOption (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 deltaForward () const
 
Real elasticity () const
 
Real gamma () const
 
Real theta () const
 
Real thetaPerDay () const
 
Real vega () const
 
Real rho () const
 
Real dividendRho () const
 
Real strikeSensitivity () const
 
Real itmCashProbability () const
 
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 >
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

ext::shared_ptr< StrikedTypePayoffdaughterPayoff_
 
ext::shared_ptr< ExercisedaughterExercise_
 

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 OneAssetOption
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 OneAssetOption
Real delta_
 
Real deltaForward_
 
Real elasticity_
 
Real gamma_
 
Real theta_
 
Real thetaPerDay_
 
Real vega_
 
Real rho_
 
Real dividendRho_
 
Real strikeSensitivity_
 
Real itmCashProbability_
 
- 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

Compound option (i.e., option on option) on a single asset.

Definition at line 35 of file compoundoption.hpp.

Constructor & Destructor Documentation

◆ CompoundOption()

CompoundOption ( const ext::shared_ptr< StrikedTypePayoff > &  motherPayoff,
const ext::shared_ptr< Exercise > &  motherExercise,
ext::shared_ptr< StrikedTypePayoff daughterPayoff,
ext::shared_ptr< Exercise daughterExercise 
)

The mother option is the compound option. The daughter option is its underlying option.

Definition at line 25 of file compoundoption.cpp.

Member Function Documentation

◆ 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 32 of file compoundoption.cpp.

+ Here is the call graph for this function:

Member Data Documentation

◆ daughterPayoff_

ext::shared_ptr<StrikedTypePayoff> daughterPayoff_
private

Definition at line 49 of file compoundoption.hpp.

◆ daughterExercise_

ext::shared_ptr<Exercise> daughterExercise_
private

Definition at line 50 of file compoundoption.hpp.