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QuantLib_Option

NAME

QuantLib::Option - base option class

SYNOPSIS

#include <ql/option.hpp>

Inherits QuantLib::Instrument.

Inherited by MultiAssetOption, OneAssetOption, and Swaption.

Classes

class arguments
basic option arguments

Public Types

enum Type { Put = -1, Call = 1 }

Public Member Functions

Option (const boost::shared_ptr< Payoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void setupArguments (PricingEngine::arguments *) const

boost::shared_ptr< Payoff > payoff ()

boost::shared_ptr< Exercise > exercise ()

Protected Attributes

boost::shared_ptr< Payoff > payoff_

boost::shared_ptr< Exercise > exercise_

Related Functions

(Note that these are not member functions.)
std::ostream & operator<< (std::ostream &, Option::Type)

Detailed Description

base option class

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]

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.

Reimplemented in DividendBarrierOption, ContinuousAveragingAsianOption, DiscreteAveragingAsianOption, BarrierOption, CliquetOption, DividendVanillaOption, ForwardVanillaOption, HimalayaOption, ContinuousFloatingLookbackOption, ContinuousFixedLookbackOption, MultiAssetOption, PagodaOption, and Swaption.

Friends And Related Function Documentation

std::ostream & operator<< (std::ostream &, Option::Type) [related]

Author

Generated automatically by Doxygen for QuantLib from the source code.