SingleBarrierOptionWrapper Class Reference

Inheritance diagram for SingleBarrierOptionWrapper:

Public Member Functions
	SingleBarrierOptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const QuantLib::Date &exerciseDate, const QuantLib::Date &settlementDate, const bool isPhysicalDelivery, const QuantLib::ext::shared_ptr< QuantLib::Instrument > &undInst, Barrier::Type barrierType, Handle< Quote > spot, Real barrier, Real rebate, const QuantLib::Currency ccy, const QuantLib::Date &startDate, const QuantLib::ext::shared_ptr< QuantLib::Index > &index, const QuantLib::Calendar &calendar, 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 >(), const std::optional< bool > &overrideTriggered=std::nullopt, const QuantLib::ext::shared_ptr< QuantLib::Index > &indexLows=nullptr, const QuantLib::ext::shared_ptr< QuantLib::Index > &indexHighs=nullptr, const int strictBarrier=0)
bool	exercise () const override
Public Member Functions inherited from BarrierOptionWrapper
	BarrierOptionWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const QuantLib::Date &exerciseDate, const QuantLib::Date &settlementDate, const bool isPhysicalDelivery, const QuantLib::ext::shared_ptr< QuantLib::Instrument > &undInst, Barrier::Type barrierType, Handle< Quote > spot, Real rebate, const QuantLib::Currency ccy, const QuantLib::Date &startDate, const QuantLib::ext::shared_ptr< QuantLib::Index > &index, const QuantLib::Calendar &calendar, 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 >(), const std::optional< bool > &overrideTriggered=std::nullopt, const QuantLib::ext::shared_ptr< QuantLib::Index > &indexLows=nullptr, const QuantLib::ext::shared_ptr< QuantLib::Index > &indexHighs=nullptr, const int strictBarrier=0)
const std::map< std::string, QuantLib::ext::any > &	additionalResults () const override
	Return the additional results of this instrument.
Public Member Functions inherited from OptionWrapper
	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.
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
Real	cachedExerciseValue () const
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.

Protected Member Functions
bool	strikeAtBarrier (Real strike) const override
bool	checkBarrier (Real spot) const
Protected Member Functions inherited from BarrierOptionWrapper
QuantLib::Real	NPV () const override
	Return the NPV of this instrument.
Protected Member Functions inherited from InstrumentWrapper
Real	getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const

Protected Attributes
Real	barrier_
Protected Attributes inherited from BarrierOptionWrapper
Handle< Quote >	spot_
Barrier::Type	barrierType_
Real	rebate_
const QuantLib::Currency	ccy_
const QuantLib::Date	startDate_
QuantLib::ext::shared_ptr< QuantLib::Index >	index_
QuantLib::Calendar	calendar_
std::optional< bool >	overrideTriggered_
QuantLib::ext::shared_ptr< QuantLib::Index >	indexLows_
QuantLib::ext::shared_ptr< QuantLib::Index >	indexHighs_
int	strictBarrier_
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>()
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

Member Function Documentation

exercise()

bool exercise ( ) const

overridevirtual

Implements OptionWrapper.

strikeAtBarrier()

bool strikeAtBarrier ( Real strike ) const

overrideprotectedvirtual

Implements BarrierOptionWrapper.