OneAssetOption

NAME

OneAssetOption − Base class for options on a single asset.

SYNOPSIS

#include <ql/instruments/oneassetoption.hpp>

Inherits Option.

Inherited by BarrierOption, CliquetOption, ComplexChooserOption, CompoundOption, ContinuousAveragingAsianOption, ContinuousFixedLookbackOption, ContinuousFloatingLookbackOption, ConvertibleBond::option, DiscreteAveragingAsianOption, DividendVanillaOption, DoubleBarrierOption, ForwardVanillaOption, HolderExtensibleOption, PartialTimeBarrierOption, QuantoVanillaOption, SimpleChooserOption, VanillaOption, VanillaStorageOption, VanillaSwingOption, and WriterExtensibleOption.

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 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_

Additional Inherited Members

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 QuantoVanillaOption, QuantoBarrierOption, and QuantoForwardVanillaOption.

void setupExpired () const [protected], [virtual]
This method must leave the instrument in a consistent state when the expiration condition is met.