Commodity Average Price Option. More...

#include <qle/instruments/commodityapo.hpp>

Inheritance diagram for CommodityAveragePriceOption:

Classes
class	arguments
	Arguments for commodity APO calculation More...
class	engine
	base class for APO engines More...

Public Member Functions
	CommodityAveragePriceOption (const QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow > &flow, const ext::shared_ptr< Exercise > &exercise, const Real quantity, const Real strikePrice, Option::Type type, Settlement::Type delivery=Settlement::Physical, Settlement::Method settlementMethod=Settlement::PhysicalOTC, const Real barrierLevel=Null< Real >(), Barrier::Type barrierType=Barrier::Type::DownIn, Exercise::Type barrierStyle=Exercise::American, const QuantLib::ext::shared_ptr< FxIndex > &fxIndex=nullptr, const int strictBarrier=0)
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override

Inspectors
Settlement::Type	settlementType () const
Settlement::Method	settlementMethod () const
const QuantLib::ext::shared_ptr< CommodityIndexedAverageCashFlow > &	underlyingFlow () const
const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex () const
Real	barrierLevel () const
Barrier::Type	barrierType () const
Exercise::Type	barrierStyle () const
Real	effectiveStrike () const
Real	accrued (const Date &refDate) const

Detailed Description

Commodity Average Price Option.

Classes