OneAssetOption Class Reference
#include <ql/Instruments/oneassetoption.hpp>
Inheritance diagram for OneAssetOption:

Detailed Description
Base class for options on a single asset.
Public Member Functions | |
OneAssetOption (const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) | |
Volatility | impliedVolatility (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const |
void | setupArguments (Arguments *) const |
void | fetchResults (const 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 | itmCashProbability () const |
SampledCurve | priceCurve () 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 | itmCashProbability_ |
SampledCurve | priceCurve_ |
boost::shared_ptr< StochasticProcess > | stochasticProcess_ |
Classes | |
class | arguments |
Arguments for single-asset option calculation More... | |
class | results |
Results from single-asset option calculation More... |
Member Function Documentation
|
|
|
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. Reimplemented in ContinuousAveragingAsianOption, DiscreteAveragingAsianOption, BarrierOption, CliquetOption, DividendVanillaOption, ForwardVanillaOption, OneAssetStrikedOption, QuantoForwardVanillaOption, and QuantoVanillaOption. |
|
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, OneAssetStrikedOption, and QuantoVanillaOption. |
|
This method must leave the instrument in a consistent state when the expiration condition is met. Reimplemented from Instrument. Reimplemented in OneAssetStrikedOption, and QuantoVanillaOption. |