Base class for options on a single asset. More...
#include <ql/instruments/oneassetoption.hpp>
Classes | |
class | results |
Results from single-asset option calculation More... | |
Public Member Functions | |
OneAssetOption (const ext::shared_ptr< Payoff > &, const ext::shared_ptr< Exercise > &) | |
Instrument interface | |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
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Option (const ext::shared_ptr< Payoff > &payoff, const ext::shared_ptr< Exercise > &exercise) | |
void | setupArguments (PricingEngine::arguments *) const |
ext::shared_ptr< Payoff > | payoff () |
ext::shared_ptr< Exercise > | exercise () |
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Real | NPV () const |
returns the net present value of the instrument. | |
Real | errorEstimate () const |
returns the error estimate on the NPV when available. | |
const Date & | valuationDate () const |
returns the date the net present value refers to. | |
template<typename T > | |
T | result (const std::string &tag) const |
returns any additional result returned by the pricing engine. | |
const std::map< std::string, boost::any > & | additionalResults () const |
returns all additional result returned by the pricing engine. | |
void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
set the pricing engine to be used. More... | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
void | alwaysForwardNotifications () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
greeks | |
Real | delta_ |
Real | deltaForward_ |
Real | elasticity_ |
Real | gamma_ |
Real | theta_ |
Real | thetaPerDay_ |
Real | vega_ |
Real | rho_ |
Real | dividendRho_ |
Real | strikeSensitivity_ |
Real | itmCashProbability_ |
Real | delta () const |
Real | deltaForward () const |
Real | elasticity () const |
Real | gamma () const |
Real | theta () const |
Real | thetaPerDay () const |
Real | vega () const |
Real | rho () const |
Real | dividendRho () const |
Real | strikeSensitivity () const |
Real | itmCashProbability () const |
void | fetchResults (const PricingEngine::results *) const |
void | setupExpired () const |
Additional Inherited Members | |
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enum | Type { Put = -1, Call = 1 } |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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void | calculate () const |
virtual void | performCalculations () const |
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ext::shared_ptr< Payoff > | payoff_ |
ext::shared_ptr< Exercise > | exercise_ |
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Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
ext::shared_ptr< PricingEngine > | engine_ |
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bool | calculated_ |
bool | frozen_ |
bool | alwaysForward_ |
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std::ostream & | operator<< (std::ostream &, Option::Type) |
Base class for options on a single asset.
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virtual |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Reimplemented in QuantoVanillaOption, QuantoForwardVanillaOption, and QuantoBarrierOption.
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protectedvirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.