CommoditySpreadOption::arguments Class Reference

Arguments for commodity spread option calculation More...

#include <qle/instruments/commodityspreadoption.hpp>

Inheritance diagram for CommoditySpreadOption::arguments:

Public Member Functions
void	validate () const override

Public Attributes
QuantLib::ext::shared_ptr< CommodityCashFlow >	longAssetFlow
QuantLib::ext::shared_ptr< CommodityCashFlow >	shortAssetFlow
Real	quantity
Real	strikePrice
Real	effectiveStrike
Option::Type	type
Date	paymentDate
QuantLib::ext::shared_ptr< FxIndex >	longAssetFxIndex
QuantLib::ext::shared_ptr< FxIndex >	shortAssetFxIndex
bool	isCalendarSpread
Date	longAssetLastPricingDate
Date	shortAssetLastPricingDate
Settlement::Type	settlementType
Settlement::Method	settlementMethod

Detailed Description

Arguments for commodity spread option calculation