QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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forwardvanillaoption.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2002, 2003 Ferdinando Ametrano
5 Copyright (C) 2007 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
22
23namespace QuantLib {
24
26 Real moneyness,
27 const Date& resetDate,
28 const ext::shared_ptr<StrikedTypePayoff>& payoff,
29 const ext::shared_ptr<Exercise>& exercise)
30 : OneAssetOption(payoff, exercise),
31 moneyness_(moneyness), resetDate_(resetDate) {}
32
34 PricingEngine::arguments* args) const {
36 auto* arguments = dynamic_cast<ForwardVanillaOption::arguments*>(args);
37 QL_REQUIRE(arguments != nullptr, "wrong argument type");
38
41
42 }
43
45 const PricingEngine::results* r) const {
47 const auto* results = dynamic_cast<const ForwardVanillaOption::results*>(r);
48 QL_ENSURE(results != nullptr, "no results returned from pricing engine");
53 rho_ = results->rho;
55 }
56
57}
58
Concrete date class.
Definition: date.hpp:125
Arguments for forward (strike-resetting) option calculation
void setupArguments(PricingEngine::arguments *) const override
ForwardVanillaOption(Real moneyness, const Date &resetDate, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
void fetchResults(const PricingEngine::results *) const override
Real dividendRho
Definition: option.hpp:75
virtual void setupArguments(PricingEngine::arguments *) const
Definition: instrument.cpp:45
Results from single-asset option calculation
Base class for options on a single asset.
void fetchResults(const PricingEngine::results *) const override
#define QL_ENSURE(condition, message)
throw an error if the given post-condition is not verified
Definition: errors.hpp:130
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
Forward version of a vanilla option.
QL_REAL Real
real number
Definition: types.hpp:50
ext::shared_ptr< QuantLib::Payoff > payoff
Definition: any.hpp:35
ext::shared_ptr< YieldTermStructure > r