Logo Search packages:      
Sourcecode: quantlib version File versions


Go to the documentation of this file.
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2003 Ferdinando Ametrano
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

/*! \file oneassetstrikedoption.hpp
    \brief Option on a single asset with striked payoff

#ifndef quantlib_oneassetstriked_option_h
#define quantlib_oneassetstriked_option_h

#include <ql/Instruments/oneassetoption.hpp>
#include <ql/Instruments/payoffs.hpp>

namespace QuantLib {

    //! Base class for options on a single asset with striked payoff
00034     class OneAssetStrikedOption : public OneAssetOption {
            const boost::shared_ptr<StochasticProcess>&,
            const boost::shared_ptr<StrikedTypePayoff>&,
            const boost::shared_ptr<Exercise>&,
            const boost::shared_ptr<PricingEngine>& engine =
        //! \name greeks
        Real strikeSensitivity() const;
        void setupArguments(Arguments*) const;
        void performCalculations() const;
        // results
        mutable Real strikeSensitivity_;



Generated by  Doxygen 1.6.0   Back to index