OneAssetStrikedOption Class Reference

#include <ql/Instruments/oneassetstrikedoption.hpp>

Inheritance diagram for OneAssetStrikedOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Base class for options on a single asset with striked payoff.


Public Member Functions

 OneAssetStrikedOption (const boost::shared_ptr< BlackScholesProcess > &stochProc, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >())
void setupArguments (Arguments *) const
greeks
Real strikeSensitivity () const

Protected Member Functions

void performCalculations () const

Protected Attributes

Real strikeSensitivity_


Member Function Documentation

void setupArguments Arguments  )  const [virtual]
 

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 OneAssetOption.

Reimplemented in ContinuousAveragingAsianOption, DiscreteAveragingAsianOption, BarrierOption, CliquetOption, DividendVanillaOption, ForwardVanillaOption, QuantoForwardVanillaOption, and QuantoVanillaOption.

void performCalculations  )  const [protected, virtual]
 

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from OneAssetOption.

Reimplemented in BarrierOption, ForwardVanillaOption, and QuantoVanillaOption.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen