Single-asset barrier option with discrete dividends. More...
#include <ql/instruments/dividendbarrieroption.hpp>
Classes | |
class | arguments |
Arguments for dividend barrier option calculation More... | |
class | engine |
Dividend-barrier-option engine base class More... | |
Public Member Functions | |
DividendBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const std::vector< Date > ÷ndDates, const std::vector< Real > ÷nds) | |
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BarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
Volatility | impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const |
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OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) | |
void | fetchResults (const PricingEngine::results *) const |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
Real | delta () const |
Real | deltaForward () const |
Real | elasticity () const |
Real | gamma () const |
Real | theta () const |
Real | thetaPerDay () const |
Real | vega () const |
Real | rho () const |
Real | dividendRho () const |
Real | strikeSensitivity () const |
Real | itmCashProbability () const |
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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 () |
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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, boost::any > & | additionalResults () const |
returns all additional result returned by the pricing engine. | |
void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
set the pricing engine to be used. | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Protected Member Functions | |
void | setupArguments (PricingEngine::arguments *) const |
Additional Inherited Members | |
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enum | Type { Put = -1, Call = 1 } |
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Barrier::Type | barrierType_ |
Real | barrier_ |
Real | rebate_ |
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std::ostream & | operator<< (std::ostream &, Option::Type) |
Single-asset barrier option with discrete dividends.
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protectedvirtual |
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 BarrierOption.