SpreadOption Class Reference

Spread option on two assets. More...

#include <ql/experimental/exoticoptions/spreadoption.hpp>

Inheritance diagram for SpreadOption:

Classes
class	engine
	Spread option engine base class More...

Public Member Functions
	SpreadOption (const ext::shared_ptr< PlainVanillaPayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
Public Member Functions inherited from MultiAssetOption
	MultiAssetOption (const ext::shared_ptr< Payoff > &, const ext::shared_ptr< Exercise > &)
bool	isExpired () const
	returns whether the instrument might have value greater than zero.
Real	delta () const
Real	gamma () const
Real	theta () const
Real	vega () const
Real	rho () const
Real	dividendRho () const
void	setupArguments (PricingEngine::arguments *) const
void	fetchResults (const PricingEngine::results *) const
Public Member Functions inherited from Option
	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 ()
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 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...
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 &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	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 ()

Additional Inherited Members
Public Types inherited from Option
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
Protected Member Functions inherited from MultiAssetOption
void	setupExpired () const
Protected Member Functions inherited from Instrument
void	calculate () const
virtual void	performCalculations () const
Protected Member Functions inherited from LazyObject
Protected Attributes inherited from MultiAssetOption
Real	delta_
Real	gamma_
Real	theta_
Real	vega_
Real	rho_
Real	dividendRho_
Protected Attributes inherited from Option
ext::shared_ptr< Payoff >	payoff_
ext::shared_ptr< Exercise >	exercise_
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, boost::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
Protected Attributes inherited from LazyObject
bool	calculated_
bool	frozen_
bool	alwaysForward_
Related Functions inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

Detailed Description

Spread option on two assets.