QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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riskyassetswapoption.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Roland Lichters
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file riskyassetswapoption.hpp
21 \brief option on risky asset swap
22*/
23
24#ifndef quantlib_risky_asset_swap_option_hpp
25#define quantlib_risky_asset_swap_option_hpp
26
28
29namespace QuantLib {
30
31 //! %Option on risky asset swap
33 public:
34 RiskyAssetSwapOption(ext::shared_ptr<RiskyAssetSwap> asw,
35 const Date& expiry,
36 Rate marketSpread,
37 Volatility spreadVolatility);
38
39 private:
40 bool isExpired() const override;
41 void performCalculations() const override;
42
43 ext::shared_ptr<RiskyAssetSwap> asw_;
47 };
48
49}
50
51#endif
Concrete date class.
Definition: date.hpp:125
Abstract instrument class.
Definition: instrument.hpp:44
Option on risky asset swap
void performCalculations() const override
bool isExpired() const override
returns whether the instrument might have value greater than zero.
ext::shared_ptr< RiskyAssetSwap > asw_
Real Volatility
volatility
Definition: types.hpp:78
Real Rate
interest rates
Definition: types.hpp:70
Definition: any.hpp:35
Risky asset-swap instrument.