HimalayaOption Class Reference

Himalaya option. More...

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

Inheritance diagram for HimalayaOption:

Public Member Functions
	HimalayaOption (const std::vector< Date > &fixingDates, Real strike)
void	setupArguments (PricingEngine::arguments *) const override
Public Member Functions inherited from MultiAssetOption
	MultiAssetOption (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	gamma () const
Real	theta () const
Real	vega () const
Real	rho () const
Real	dividendRho () const
void	setupArguments (PricingEngine::arguments *) const override
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 ()

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
Real	delta_
Real	gamma_
Real	theta_
Real	vega_
Real	rho_
Real	dividendRho_
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_
Related Symbols inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

Detailed Description

Himalaya option.

The payoff of a Himalaya option is computed in the following way: Given a basket of N assets, and N time periods, at the end of each period the option who performed the best is added to the average and then discarded from the basket. At the end of the N, periods the option pays the max between the strike and the average of the best performers.

Warning

This implementation still does not manage seasoned options.

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 Instrument.