#include <qle/instruments/commodityspreadoption.hpp>

Inheritance diagram for CommoditySpreadOption:

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

Public Member Functions
	CommoditySpreadOption (const QuantLib::ext::shared_ptr< CommodityCashFlow > &longAssetCashflow, const QuantLib::ext::shared_ptr< CommodityCashFlow > &shortAssetCashflow, const ext::shared_ptr< Exercise > &exercise, const Real quantity, const Real strikePrice, Option::Type type, const QuantLib::Date &paymentDate=Date(), const QuantLib::ext::shared_ptr< FxIndex > &longAssetFxIndex=nullptr, const QuantLib::ext::shared_ptr< FxIndex > &shortAssetFxIndex=nullptr, Settlement::Type delivery=Settlement::Physical, Settlement::Method settlementMethod=Settlement::PhysicalOTC)
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
Inspectors
const QuantLib::ext::shared_ptr< CommodityCashFlow > &	underlyingLongAssetFlow () const
const QuantLib::ext::shared_ptr< CommodityCashFlow > &	underlyingShortAssetFlow () const
const QuantLib::ext::shared_ptr< FxIndex > &	longAssetFxIndex () const
const QuantLib::ext::shared_ptr< FxIndex > &	shortAssetFxIndex () const
Real	effectiveStrike () const
bool	isCalendarSpread () const

Observable interface
void	deepUpdate () override

Detailed Description

Commodity Spread Option.

Classes