ContinuousPartialFixedLookbackOption Class Reference

Continuous-partial-fixed lookback option. More...

#include <ql/instruments/lookbackoption.hpp>

Inheritance diagram for ContinuousPartialFixedLookbackOption:

Classes
class	arguments
	Arguments for continuous partial fixed lookback option calculation More...
class	engine
	Continuous partial fixed lookback engine base class More...

Public Member Functions
	ContinuousPartialFixedLookbackOption (Date lookbackPeriodStart, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
void	setupArguments (PricingEngine::arguments *) const override
Public Member Functions inherited from ContinuousFixedLookbackOption
	ContinuousFixedLookbackOption (Real currentMinmax, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
Public Member Functions inherited from OneAssetOption
	OneAssetOption (const ext::shared_ptr< Payoff > &, const ext::shared_ptr< Exercise > &)
bool	isExpired () const override
	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
void	fetchResults (const PricingEngine::results *) const override
Public Member Functions inherited from Option
	Option (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< Exercise > exercise)
void	setupArguments (PricingEngine::arguments *) const override
ext::shared_ptr< Payoff >	payoff () const
ext::shared_ptr< Exercise >	exercise () const
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 Date &	valuationDate () const
	returns the date the net present value refers to.
template<typename T>
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used.
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Protected Attributes
Date	lookbackPeriodStart_
Protected Attributes inherited from ContinuousFixedLookbackOption
Real	minmax_
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
ext::shared_ptr< Payoff >	payoff_
ext::shared_ptr< Exercise >	exercise_
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Additional Inherited Members
Public Types inherited from Option
enum	Type { Put = -1 , Call = 1 }
Public Types inherited from Observer
typedef set_type::iterator	iterator
void	setupExpired () const override
Protected Member Functions inherited from Instrument
void	calculate () const override
void	performCalculations () const override
Related Symbols inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

Detailed Description

Continuous-partial-fixed lookback option.

From http://help.rmetrics.org/fExoticOptions/LookbackOptions.html :

For a partial-time fixed strike lookback option, the lookback period starts at a predetermined date after the initialization date of the option. The partial-time fixed strike lookback call option payoff is given by the difference between the maximum observed price of the underlying asset during the lookback period and the fixed strike price. The partial-time fixed strike lookback put option payoff is given by the difference between the fixed strike price and the minimum observed price of the underlying asset during the lookback period. The partial-time fixed strike lookback option is cheaper than a similar standard fixed strike lookback option. Partial-time fixed strike lookback options can be priced analytically using a model introduced by Heynen and Kat (1994).

Member Function Documentation

setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

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 ContinuousFixedLookbackOption.