Double Barrier option on a single asset. More...
#include <ql/experimental/barrieroption/doublebarrieroption.hpp>
Inheritance diagram for DoubleBarrierOption:Classes | |
| class | arguments |
| Arguments for double barrier option calculation More... | |
| class | engine |
| Double-Barrier-option engine base class More... | |
Public Member Functions | |
| DoubleBarrierOption (DoubleBarrier::Type barrierType, Real barrier_lo, Real barrier_hi, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
| void | setupArguments (PricingEngine::arguments *) const |
| 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 |
Public Member Functions inherited from OneAssetOption | |
| 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 |
Public Member Functions inherited from Option | |
| 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 () |
Public Member Functions inherited from Instrument | |
| 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. More... | |
Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| void | alwaysForwardNotifications () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Protected Attributes | |
| DoubleBarrier::Type | barrierType_ |
| Real | barrier_lo_ |
| Real | barrier_hi_ |
| Real | rebate_ |
Protected Attributes inherited from OneAssetOption | |
| Real | delta_ |
| Real | deltaForward_ |
| Real | elasticity_ |
| Real | gamma_ |
| Real | theta_ |
| Real | thetaPerDay_ |
| Real | vega_ |
| Real | rho_ |
| Real | dividendRho_ |
| Real | strikeSensitivity_ |
| Real | itmCashProbability_ |
Protected Attributes inherited from Option | |
| boost::shared_ptr< Payoff > | payoff_ |
| boost::shared_ptr< Exercise > | exercise_ |
Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| bool | alwaysForward_ |
Additional Inherited Members | |
Public Types inherited from Option | |
| enum | Type { Put = -1, Call = 1 } |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from OneAssetOption | |
| void | setupExpired () const |
Protected Member Functions inherited from Instrument | |
| void | calculate () const |
| virtual void | performCalculations () const |
Protected Member Functions inherited from LazyObject | |
Related Functions inherited from Option | |
| std::ostream & | operator<< (std::ostream &, Option::Type) |
Double Barrier option on a single asset.
The analytic pricing engine will be used if none if passed.
|
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.
| Volatility impliedVolatility | ( | Real | price, |
| const boost::shared_ptr< GeneralizedBlackScholesProcess > & | process, | ||
| Real | accuracy = 1.0e-4, |
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| Size | maxEvaluations = 100, |
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| Volatility | minVol = 1.0e-7, |
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| Volatility | maxVol = 4.0 |
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| ) | const |