QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Classes | Public Member Functions | Protected Attributes | List of all members
TwoAssetBarrierOption Class Reference

Barrier option on two assets More...

#include <ql/experimental/exoticoptions/twoassetbarrieroption.hpp>

+ Inheritance diagram for TwoAssetBarrierOption:

Classes

class  arguments
 Arguments for two-asset barrier option calculation More...
 
class  engine
 Two-asset barrier-option engine base class More...
 

Public Member Functions

 TwoAssetBarrierOption (Barrier::Type barrierType, Real barrier, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
 
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
void setupArguments (PricingEngine::arguments *) const
 
- Public Member Functions inherited from Option
 Option (const boost::shared_ptr< Payoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
 
void setupArguments (PricingEngine::arguments *) const
 
boost::shared_ptr< Payoffpayoff ()
 
boost::shared_ptr< Exerciseexercise ()
 
- Public Member Functions inherited from Instrument
virtual void fetchResults (const PricingEngine::results *) const
 
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename T >
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
 
const std::map< std::string, boost::any > & additionalResults () const
 returns all additional result returned by the pricing engine.
 
void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
 set the pricing engine to be used. More...
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Attributes

Barrier::Type barrierType_
 
Real barrier_
 
- Protected Attributes inherited from Option
boost::shared_ptr< Payoffpayoff_
 
boost::shared_ptr< Exerciseexercise_
 
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Additional Inherited Members

- Public Types inherited from Option
enum  Type { Put = -1, Call = 1 }
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void setupExpired () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject

Detailed Description

Barrier option on two assets

Member Function Documentation

void setupArguments ( PricingEngine::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 Instrument.