Option on risky asset swap More...
#include <riskyassetswapoption.hpp>
Inheritance diagram for RiskyAssetSwapOption:
Collaboration diagram for RiskyAssetSwapOption:
Public Member Functions | |
| RiskyAssetSwapOption (ext::shared_ptr< RiskyAssetSwap > asw, const Date &expiry, Rate marketSpread, Volatility spreadVolatility) | |
| Public Member Functions inherited from Instrument | |
| Instrument () | |
| Real | NPV () const |
| returns the net present value of the instrument. More... | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. More... | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. More... | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. More... | |
| const std::map< std::string, ext::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. More... | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| virtual void | setupArguments (PricingEngine::arguments *) const |
| virtual void | fetchResults (const PricingEngine::results *) const |
| Public Member Functions inherited from LazyObject | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observable | |
| Observable ()=default | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~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 | update ()=0 |
| virtual void | deepUpdate () |
Private Member Functions | |
| bool | isExpired () const override |
| returns whether the instrument might have value greater than zero. More... | |
| void | performCalculations () const override |
Private Attributes | |
| ext::shared_ptr< RiskyAssetSwap > | asw_ |
| Date | expiry_ |
| Rate | marketSpread_ |
| Volatility | spreadVolatility_ |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| virtual void | setupExpired () const |
| void | performCalculations () const override |
| Protected Member Functions inherited from LazyObject | |
| Protected Attributes inherited from Instrument | |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, ext::any > | additionalResults_ |
| ext::shared_ptr< PricingEngine > | engine_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
Option on risky asset swap
Definition at line 32 of file riskyassetswapoption.hpp.
Constructor & Destructor Documentation
◆ RiskyAssetSwapOption()
| RiskyAssetSwapOption | ( | ext::shared_ptr< RiskyAssetSwap > | asw, |
| const Date & | expiry, | ||
| Rate | marketSpread, | ||
| Volatility | spreadVolatility | ||
| ) |
Definition at line 27 of file riskyassetswapoption.cpp.
Member Function Documentation
◆ isExpired()
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overrideprivatevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Definition at line 34 of file riskyassetswapoption.cpp.
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◆ performCalculations()
|
overrideprivatevirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 39 of file riskyassetswapoption.cpp.
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Member Data Documentation
◆ asw_
|
private |
Definition at line 43 of file riskyassetswapoption.hpp.
◆ expiry_
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private |
Definition at line 44 of file riskyassetswapoption.hpp.
◆ marketSpread_
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private |
Definition at line 45 of file riskyassetswapoption.hpp.
◆ spreadVolatility_
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private |
Definition at line 46 of file riskyassetswapoption.hpp.