OneAssetOption (3) - Linux Manuals
OneAssetOption: Base class for options on a single asset.
NAME
QuantLib::OneAssetOption - Base class for options on a single asset.
SYNOPSIS
#include <ql/instruments/oneassetoption.hpp>
Inherits QuantLib::Option.
Inherited by BarrierOption, CliquetOption, ContinuousAveragingAsianOption, ContinuousFixedLookbackOption, ContinuousFloatingLookbackOption, option, DiscreteAveragingAsianOption, DividendVanillaOption, ForwardVanillaOption, QuantoVanillaOption, and VanillaOption.
Classes
class results
Results from single-asset option calculation
Public Member Functions
OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &)
void fetchResults (const PricingEngine::results *) const
Instrument interface
bool isExpired () const
returns whether the instrument is still tradable.
greeks
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
Protected Member Functions
Protected Attributes
Real delta_
Real deltaForward_
Real elasticity_
Real gamma_
Real theta_
Real thetaPerDay_
Real vega_
Real rho_
Real dividendRho_
Real strikeSensitivity_
Real itmCashProbability_
Detailed Description
Base class for options on a single asset.
Member Function Documentation
void fetchResults (const PricingEngine::results * r) const [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 ForwardVanillaOption, QuantoBarrierOption, QuantoForwardVanillaOption, and QuantoVanillaOption.
void setupExpired () const [protected, virtual]
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
Author
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