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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::BarrierOption QuantLib::CliquetOption QuantLib::CompoundOption QuantLib::ContinuousAveragingAsianOption QuantLib::ContinuousFixedLookbackOption QuantLib::ContinuousFloatingLookbackOption QuantLib::DiscreteAveragingAsianOption QuantLib::DividendVanillaOption QuantLib::ForwardVanillaOption QuantLib::QuantoVanillaOption QuantLib::VanillaOption

List of all members.


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< Exerciseexercise ()
void fetchResults (const PricingEngine::results *) const
void notifyObservers ()
 OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &)
boost::shared_ptr< Payoffpayoff ()
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>
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
const DatevaluationDate () 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< PricingEngineengine_
boost::shared_ptr< Exerciseexercise_
bool frozen_
Real gamma_
Real itmCashProbability_
boost::shared_ptr< Payoffpayoff_
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:

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