OptionWrapper Class Reference

Option Wrapper. More...

#include <ored/portfolio/optionwrapper.hpp>

Inheritance diagram for OptionWrapper:

Public Member Functions
	OptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const std::vector< QuantLib::Date > &exerciseDate, const std::vector< QuantLib::Date > &settlementDate, const bool isPhysicalDelivery, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &undInst, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())
	Constructor.
Public Member Functions inherited from InstrumentWrapper
	InstrumentWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const Real multiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())
QuantLib::Real	additionalInstrumentsNPV () const
QuantLib::ext::shared_ptr< QuantLib::Instrument >	qlInstrument (const bool calculate=false) const
	Inspectors.
Real	multiplier () const
const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	additionalInstruments () const
const std::vector< Real > &	additionalMultipliers () const
boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing.
std::size_t	getNumberOfPricings () const
	Get number of pricings.
void	resetPricingStats () const
	Reset pricing statistics.

InstrumentWrapper interface
bool	isLong_
bool	isPhysicalDelivery_
std::vector< QuantLib::Date >	contractExerciseDates_
std::vector< QuantLib::Date >	effectiveExerciseDates_
std::vector< QuantLib::Date >	settlementDates_
std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	underlyingInstruments_
QuantLib::ext::shared_ptr< QuantLib::Instrument >	activeUnderlyingInstrument_
Real	undMultiplier_
bool	exercised_
bool	exercisable_
QuantLib::Date	exerciseDate_
QuantLib::Date	settlementDate_
Real	cachedNpv_
Real	cachedExerciseValue_ = QuantLib::Null<Real>()
void	initialise (const std::vector< QuantLib::Date > &dates) override
	Initialise with the given date grid.
void	reset () override
	reset is called every time a new path is about to be priced.
QuantLib::Real	NPV () const override
	Return the NPV of this instrument.
Real	multiplier2 () const override
const std::map< std::string, QuantLib::ext::any > &	additionalResults () const override
	Return the additional results of this instrument.
void	updateQlInstruments () override
	call update on enclosed instrument(s)
bool	isOption () override
	is it an Option?
const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	underlyingInstruments () const
	return the underlying instruments
const QuantLib::ext::shared_ptr< QuantLib::Instrument > &	activeUnderlyingInstrument (const bool calculate=false) const
bool	isLong () const
	return true if option is long, false if option is short
bool	isExercised () const
	return true if option is exercised
bool	isPhysicalDelivery () const
	return true for physical delivery, false for cash settlement
Real	underlyingMultiplier () const
	the underlying multiplier
const QuantLib::Date &	exerciseDate () const
	the (actual) date the option was exercised
void	enableExercise ()
	disable exercise decisions
void	disableExercise ()
	enable exercise decisions
virtual bool	exercise () const =0
Real	cachedExerciseValue () const

Additional Inherited Members
Protected Member Functions inherited from InstrumentWrapper
Real	getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const
Protected Attributes inherited from InstrumentWrapper
QuantLib::ext::shared_ptr< QuantLib::Instrument >	instrument_
Real	multiplier_
std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	additionalInstruments_
std::vector< Real >	additionalMultipliers_
std::size_t	numberOfPricings_ = 0
boost::timer::nanosecond_type	cumulativePricingTime_ = 0

Detailed Description

Option Wrapper.

Wrapper Class for Options Prices underlying instrument if option has been exercised Handles Physical and Cash Settlement

Member Function Documentation

initialise()

void initialise ( const std::vector< QuantLib::Date > & dates )

overridevirtual

Initialise with the given date grid.

Implements InstrumentWrapper.

reset()

void reset ( )

overridevirtual

reset is called every time a new path is about to be priced.

For path dependent Wrappers, this is when internal state should be reset

Implements InstrumentWrapper.

NPV()

QuantLib::Real NPV ( ) const

overridevirtual

Return the NPV of this instrument.

Implements InstrumentWrapper.

multiplier2()

Real multiplier2 ( ) const

overridevirtual

multiplier to be applied on top of multiplier(), e.g. -1 for short options

Reimplemented from InstrumentWrapper.

additionalResults()

const std::map< std::string, QuantLib::ext::any > & additionalResults ( ) const

overridevirtual

Return the additional results of this instrument.

Implements InstrumentWrapper.

updateQlInstruments()

void updateQlInstruments ( )

overridevirtual

call update on enclosed instrument(s)

Reimplemented from InstrumentWrapper.

isOption()

bool isOption ( )

overridevirtual

is it an Option?

Reimplemented from InstrumentWrapper.

activeUnderlyingInstrument()

const QuantLib::ext::shared_ptr< QuantLib::Instrument > & activeUnderlyingInstrument

(

const bool

calculate = false

)

const

return the active underlying instrument Pass true if you trigger a calculation on the returned instrument and want to record the timing for that calculation. If in doubt whether a calculation is triggered, pass false.