OneAssetOption Class Reference
Base class for options on a single asset. More...
#include <ql/instruments/oneassetoption.hpp>
Inheritance diagram for OneAssetOption:

Classes | |
class | results |
Results from single-asset option calculation More... | |
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 might have value greater than zero. | |
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 | |
void | setupExpired () const |
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.