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

Quanto version of a double barrier option. More...

#include <ql/experimental/barrieroption/quantodoublebarrieroption.hpp>

+ Inheritance diagram for QuantoDoubleBarrierOption:

Public Types

typedef DoubleBarrierOption::arguments arguments
 
typedef QuantoOptionResults< DoubleBarrierOption::results > results
 
- Public Types inherited from Option
enum  Type { Put = -1, Call = 1 }
 

Public Member Functions

 QuantoDoubleBarrierOption (DoubleBarrier::Type barrierType, Real barrier_lo, Real barrier_hi, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
 
void fetchResults (const PricingEngine::results *) const
 
greeks
Real qvega () const
 
Real qrho () const
 
Real qlambda () const
 
- Public Member Functions inherited from DoubleBarrierOption
 DoubleBarrierOption (DoubleBarrier::Type barrierType, Real barrier_lo, Real barrier_hi, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
 
void setupArguments (PricingEngine::arguments *) const
 
Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
 
- Public Member Functions inherited from OneAssetOption
 OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &)
 
void fetchResults (const PricingEngine::results *) const
 
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
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
 
- 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 ()
 

Additional Inherited Members

- Protected Member Functions inherited from OneAssetOption
void setupExpired () const
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject
- Protected Attributes inherited from DoubleBarrierOption
DoubleBarrier::Type barrierType_
 
Real barrier_lo_
 
Real barrier_hi_
 
Real rebate_
 
- Protected Attributes inherited from OneAssetOption
Real delta_
 
Real deltaForward_
 
Real elasticity_
 
Real gamma_
 
Real theta_
 
Real thetaPerDay_
 
Real vega_
 
Real rho_
 
Real dividendRho_
 
Real strikeSensitivity_
 
Real itmCashProbability_
 
- 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_
 

Detailed Description

Quanto version of a double barrier option.

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.