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

Roofed Asian option on a number of assets. More...

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

+ Inheritance diagram for PagodaOption:

Classes

class  engine
 Pagoda-option engine base class More...
 

Public Member Functions

 PagodaOption (const std::vector< Date > &fixingDates, Real roof, Real fraction)
 
void setupArguments (PricingEngine::arguments *) const
 
- Public Member Functions inherited from MultiAssetOption
 MultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &)
 
void setupArguments (PricingEngine::arguments *) const
 
void fetchResults (const PricingEngine::results *) const
 
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
Real delta () const
 
Real gamma () const
 
Real theta () const
 
Real vega () const
 
Real rho () const
 
Real dividendRho () 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
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

std::vector< DatefixingDates_
 
Real roof_
 
Real fraction_
 
- Protected Attributes inherited from MultiAssetOption
Real delta_
 
Real gamma_
 
Real theta_
 
Real vega_
 
Real rho_
 
Real dividendRho_
 
- 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 MultiAssetOption
void setupExpired () const
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject

Detailed Description

Roofed Asian option on a number of assets.

The payoff is a given fraction multiplied by the minimum between a given roof and the positive portfolio performance. If the performance of the portfolio is below then the payoff is null.

Warning:
This implementation still does not manage seasoned options.

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.