31 : asw_(
std::move(asw)), expiry_(expiry), marketSpread_(marketSpread),
32 spreadVolatility_(spreadVolatility) {}
41 if (
asw_->fixedPayer())
Actual/365 (Fixed) day count convention.
Cumulative normal distribution function.
Time yearFraction(const Date &, const Date &, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) const
Returns the period between two dates as a fraction of year.
virtual bool hasOccurred(const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const
returns true if an event has already occurred before a date
Normal distribution function.
Volatility spreadVolatility_
void performCalculations() const override
bool isExpired() const override
returns whether the instrument might have value greater than zero.
RiskyAssetSwapOption(ext::shared_ptr< RiskyAssetSwap > asw, const Date &expiry, Rate marketSpread, Volatility spreadVolatility)
ext::shared_ptr< RiskyAssetSwap > asw_
DateProxy & evaluationDate()
the date at which pricing is to be performed.
static Settings & instance()
access to the unique instance
Base class for events associated with a given date.
Real Time
continuous quantity with 1-year units
Real Volatility
volatility
normal, cumulative and inverse cumulative distributions
option on risky asset swap