QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Classes | Public Types | Public Member Functions | Protected Attributes | Related Functions | List of all members
Option Class Reference

base option class More...

#include <ql/option.hpp>

+ Inheritance diagram for Option:

Classes

class  arguments
 basic option arguments More...
 

Public Types

enum  Type { Put = -1, Call = 1 }
 
- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Public Member Functions

 Option (const ext::shared_ptr< Payoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
 
void setupArguments (PricingEngine::arguments *) const
 
ext::shared_ptr< Payoffpayoff ()
 
ext::shared_ptr< Exerciseexercise ()
 
- Public Member Functions inherited from Instrument
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename 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.
 
virtual bool isExpired () const =0
 returns whether the instrument might have value greater than zero.
 
void setPricingEngine (const ext::shared_ptr< PricingEngine > &)
 set the pricing engine to be used. More...
 
virtual void fetchResults (const PricingEngine::results *) const
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
void alwaysForwardNotifications ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 

Protected Attributes

ext::shared_ptr< Payoffpayoff_
 
ext::shared_ptr< Exerciseexercise_
 
- Protected Attributes inherited from Instrument
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
ext::shared_ptr< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 
bool alwaysForward_
 

Related Functions

(Note that these are not member functions.)

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

Additional Inherited Members

- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void setupExpired () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject

Detailed Description

base option class

Member Function Documentation

◆ setupArguments()

void setupArguments ( PricingEngine::arguments *  ) const
virtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.