QuantLib::OneAssetOption Class Reference
#include <oneassetoption.hpp>
Inheritance diagram for QuantLib::OneAssetOption:
Detailed Description
Base class for options on a single asset.Definition at line 34 of file oneassetoption.hpp.
Public Types | |
| enum | Type { Put = -1, Call = 1 } |
Public Member Functions | |
| boost::shared_ptr< Exercise > | exercise () |
| void | fetchResults (const PricingEngine::results *) const |
| void | notifyObservers () |
| OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) | |
| boost::shared_ptr< Payoff > | payoff () |
| void | registerWith (const boost::shared_ptr< Observable > &) |
| void | setupArguments (PricingEngine::arguments *) const |
| void | unregisterWith (const boost::shared_ptr< Observable > &) |
Inspectors | |
|
const std::map< std::string, boost::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. | |
| Real | NPV () const |
| returns the net present value of the instrument. | |
| template<typename T> | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. | |
greeks | |
| Real | delta () const |
| Real | deltaForward () const |
| Real | dividendRho () const |
| Real | elasticity () const |
| Real | gamma () const |
| Real | itmCashProbability () const |
| Real | rho () const |
| Real | strikeSensitivity () const |
| Real | theta () const |
| Real | thetaPerDay () const |
| Real | vega () const |
Calculations | |
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 might have value greater than zero. | |
Modifiers | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. | |
Observer interface | |
| void | update () |
Protected Member Functions | |
| void | setupExpired () const |
Calculations | |
| void | calculate () const |
| virtual void | performCalculations () const |
Protected Attributes | |
| bool | calculated_ |
| Real | delta_ |
| Real | deltaForward_ |
| Real | dividendRho_ |
| Real | elasticity_ |
| boost::shared_ptr< PricingEngine > | engine_ |
| boost::shared_ptr< Exercise > | exercise_ |
| bool | frozen_ |
| Real | gamma_ |
| Real | itmCashProbability_ |
| boost::shared_ptr< Payoff > | payoff_ |
| Real | rho_ |
| Real | strikeSensitivity_ |
| Real | theta_ |
| Real | thetaPerDay_ |
| Real | vega_ |
Results | |
The value of this attribute and any other that derived classes might declare must be set during calculation. | |
| std::map< std::string, boost::any > | additionalResults_ |
| Real | errorEstimate_ |
| Real | NPV_ |
| Date | valuationDate_ |
Related Functions | |
| (Note that these are not member functions.) | |
| std::ostream & | operator<< (std::ostream &, Option::Type) |
Classes | |
| class | engine |
| class | results |
| Results from single-asset option calculation More... | |
The documentation for this class was generated from the following files:
- QuantLib-1.0/ql/instruments/oneassetoption.hpp
- QuantLib-1.0/ql/instruments/oneassetoption.cpp