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QuantLib_Option

NAME

QuantLib::Option -

base option class

SYNOPSIS

#include <ql/option.hpp>

Inherits QuantLib::Instrument.

Inherited by CdsOption, 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 CompoundOption, CdsOption, HimalayaOption, PagodaOption, DividendBarrierOption, ContinuousAveragingAsianOption, DiscreteAveragingAsianOption, BarrierOption, CliquetOption, DividendVanillaOption, ForwardVanillaOption, ContinuousFloatingLookbackOption, ContinuousFixedLookbackOption, MultiAssetOption, 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.