Extra results for Margrabe option. More...
#include <margrabeoption.hpp>
Inheritance diagram for MargrabeOption::results:
Collaboration diagram for MargrabeOption::results:
Public Member Functions | |
| results ()=default | |
| void | reset () override |
| Public Member Functions inherited from MultiAssetOption::results | |
| void | reset () override |
| void | reset () override |
| Public Member Functions inherited from PricingEngine::results | |
| virtual | ~results ()=default |
| virtual void | reset ()=0 |
| Public Member Functions inherited from Greeks | |
| void | reset () override |
Public Attributes | |
| Real | delta1 = Null<Real>() |
| Real | delta2 = Null<Real>() |
| Real | gamma1 = Null<Real>() |
| Real | gamma2 = Null<Real>() |
| Public Attributes inherited from Instrument::results | |
| Real | value |
| Real | errorEstimate |
| Date | valuationDate |
| std::map< std::string, ext::any > | additionalResults |
| Public Attributes inherited from Greeks | |
| Real | delta |
| Real | gamma |
| Real | theta |
| Real | vega |
| Real | rho |
| Real | dividendRho |
Detailed Description
Extra results for Margrabe option.
Definition at line 68 of file margrabeoption.hpp.
Constructor & Destructor Documentation
◆ results()
|
default |
Member Function Documentation
◆ reset()
|
overridevirtual |
Reimplemented from Instrument::results.
Definition at line 75 of file margrabeoption.hpp.
Here is the call graph for this function:
Member Data Documentation
◆ delta1
Definition at line 71 of file margrabeoption.hpp.
◆ delta2
Definition at line 72 of file margrabeoption.hpp.
◆ gamma1
Definition at line 73 of file margrabeoption.hpp.
◆ gamma2
Definition at line 74 of file margrabeoption.hpp.