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QuantLib::OneAssetOption Class Reference

#include <oneassetoption.hpp>

Inheritance diagram for QuantLib::OneAssetOption:

QuantLib::Option QuantLib::Instrument QuantLib::LazyObject QuantLib::Observable QuantLib::Observer QuantLib::OneAssetStrikedOption QuantLib::BarrierOption QuantLib::CliquetOption QuantLib::ContinuousAveragingAsianOption QuantLib::DiscreteAveragingAsianOption QuantLib::VanillaOption QuantLib::DividendVanillaOption QuantLib::EuropeanOption QuantLib::ForwardVanillaOption QuantLib::QuantoVanillaOption QuantLib::QuantoForwardVanillaOption

List of all members.

Detailed Description

Base class for options on a single asset.

Definition at line 35 of file oneassetoption.hpp.

Public Types

enum  Type { Call, Put }

Public Member Functions

Volatility impliedVolatility (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const
void notifyObservers ()
 OneAssetOption (const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())
template<class T>
void registerWith (const boost::shared_ptr< T > &h)
void setupArguments (Arguments *) const
template<class T>
void unregisterWith (const boost::shared_ptr< T > &h)
Real delta () const
Real deltaForward () const
Real dividendRho () const
Real elasticity () const
Real gamma () const
Real itmCashProbability () const
Real rho () const
Real theta () const
Real thetaPerDay () const
Real vega () const
Real errorEstimate () const
 returns the error estimate on the NPV when available.
Real NPV () const
 returns the net present value of the instrument.
These methods do not modify the structure of the object and are therefore declared as const. Data members which will be calculated on demand need to be declared as mutable.

void freeze ()
void recalculate ()
void unfreeze ()
Instrument interface
bool isExpired () const
 returns whether the instrument is still tradable.
void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
 set the pricing engine to be used.
Observer interface
void update ()

Protected Member Functions

void performCalculations () const
void setupExpired () const
void calculate () const

Protected Attributes

bool calculated_
Real delta_
Real deltaForward_
Real dividendRho_
Real elasticity_
boost::shared_ptr< PricingEngineengine_
boost::shared_ptr< Exerciseexercise_
bool frozen_
Real gamma_
Real itmCashProbability_
boost::shared_ptr< Payoffpayoff_
Real rho_
< StochasticProcess
Real theta_
Real thetaPerDay_
Real vega_
The value of this attribute and any other that derived classes might declare must be set during calculation.

Real errorEstimate_
Real NPV_

Related Functions

(Note that these are not member functions.)

std::ostream & operator<< (std::ostream &, Option::Type)


class  arguments
 Arguments for single-asset option calculation More...
class  engine
class  ImpliedVolHelper
class  results
 Results from single-asset option calculation More...

The documentation for this class was generated from the following files:

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