24#ifndef quantlib_risky_asset_swap_option_hpp
25#define quantlib_risky_asset_swap_option_hpp
43 ext::shared_ptr<RiskyAssetSwap>
asw_;
Abstract instrument class.
Option on risky asset swap
Volatility spreadVolatility_
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
Risky asset-swap instrument.