QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
experimental
credit
riskyassetswapoption.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2009 Roland Lichters
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_risky_asset_swap_option_hpp
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#define quantlib_risky_asset_swap_option_hpp
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#include <ql/experimental/credit/riskyassetswap.hpp>
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namespace
QuantLib
{
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class
RiskyAssetSwapOption
:
public
Instrument
{
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public
:
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RiskyAssetSwapOption
(ext::shared_ptr<RiskyAssetSwap> asw,
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const
Date
& expiry,
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Rate
marketSpread,
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Volatility
spreadVolatility);
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private
:
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bool
isExpired
()
const override
;
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void
performCalculations
()
const override
;
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ext::shared_ptr<RiskyAssetSwap>
asw_
;
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Date
expiry_
;
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Rate
marketSpread_
;
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Volatility
spreadVolatility_
;
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};
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}
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#endif
QuantLib::Date
Concrete date class.
Definition:
date.hpp:125
QuantLib::Instrument
Abstract instrument class.
Definition:
instrument.hpp:44
QuantLib::RiskyAssetSwapOption
Option on risky asset swap
Definition:
riskyassetswapoption.hpp:33
QuantLib::RiskyAssetSwapOption::spreadVolatility_
Volatility spreadVolatility_
Definition:
riskyassetswapoption.hpp:47
QuantLib::RiskyAssetSwapOption::performCalculations
void performCalculations() const override
Definition:
riskyassetswapoption.cpp:39
QuantLib::RiskyAssetSwapOption::expiry_
Date expiry_
Definition:
riskyassetswapoption.hpp:45
QuantLib::RiskyAssetSwapOption::isExpired
bool isExpired() const override
returns whether the instrument might have value greater than zero.
Definition:
riskyassetswapoption.cpp:34
QuantLib::RiskyAssetSwapOption::marketSpread_
Rate marketSpread_
Definition:
riskyassetswapoption.hpp:46
QuantLib::RiskyAssetSwapOption::asw_
ext::shared_ptr< RiskyAssetSwap > asw_
Definition:
riskyassetswapoption.hpp:44
QuantLib::Volatility
Real Volatility
volatility
Definition:
types.hpp:78
QuantLib::Rate
Real Rate
interest rates
Definition:
types.hpp:70
QuantLib
Definition:
any.hpp:35
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