CashSettledEuropeanOption Class Reference

#include <qle/instruments/cashsettledeuropeanoption.hpp>

Inheritance diagram for CashSettledEuropeanOption:

Classes
class	arguments
class	engine
	Engine. More...

Public Member Functions
	CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate, bool automaticExercise, const QuantLib::ext::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >(), const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, const std::optional< QuantLib::Date > &cashSettlementFxFixingDate=std::nullopt)
	Constructor for cash settled vanilla European option.
	CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, const QuantLib::Date &expiryDate, QuantLib::Natural paymentLag, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, bool automaticExercise, const QuantLib::ext::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >(), const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, const std::optional< QuantLib::Date > &cashSettlementFxFixingDate=std::nullopt)
	Constructor for cash settled vanilla European option.
	CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, QuantLib::Real cashPayoff, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate, bool automaticExercise, const QuantLib::ext::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >(), const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, const std::optional< QuantLib::Date > &cashSettlementFxFixingDate=std::nullopt)
	Constructor for cash settled vanilla European option with digital payoff.
	CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, QuantLib::Real cashPayoff, const QuantLib::Date &expiryDate, QuantLib::Natural paymentLag, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, bool automaticExercise, const QuantLib::ext::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >(), const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, const std::optional< QuantLib::Date > &cashSettlementFxFixingDate=std::nullopt)
	Constructor for cash settled vanilla European option with digital payoff.
Instrument interface
bool	isExpired () const override
	Account for cash settled European options not being expired until payment is made.
void	setupArguments (QuantLib::PricingEngine::arguments *args) const override
	Set up the extra arguments.
void	exercise (QuantLib::Real priceAtExercise)
	Mark option as manually exercised at the given priceAtExercise.

Inspectors
const QuantLib::Date &	paymentDate () const
bool	automaticExercise () const
const QuantLib::ext::shared_ptr< QuantLib::Index > &	underlying () const
bool	exercised () const
QuantLib::Real	priceAtExercise () const

Detailed Description

Vanilla cash settled European options allowing for deferred payment and automatic exercise.