OutperformanceOption Class Reference

Outperformance option. More...

#include <qle/instruments/outperformanceoption.hpp>

Inheritance diagram for OutperformanceOption:

Classes
class	arguments
	Arguments for Outperformance option calculation More...
class	results
	Results from Outperformance option calculation More...
class	engine
	base class for outperformance option engines More...

Public Member Functions

OutperformanceOption (const QuantLib::ext::shared_ptr< Exercise > &exercise, const Option::Type optionType, const Real strikeReturn, const Real initialValue1, const Real initialValue2, const Real notional, const Real knockInPrice=Null< Real >(), const Real knockOutPrice=Null< Real >(), QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex1=nullptr, QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex2=nullptr)

Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
QuantLib::ext::shared_ptr< Exercise >	exercise () const
Option::Type	optionType () const
Real	strikeReturn () const
Real	initialValue1 () const
Real	initialValue2 () const
Real	notional () const
Real	knockInPrice () const
Real	knockOutPrice () const
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex1 () const
QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex2 () const

Detailed Description

Outperformance option.