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| DoubleBarrierOptionWrapper (const boost::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const QuantLib::Date &exerciseDate, const bool isPhysicalDelivery, const boost::shared_ptr< QuantLib::Instrument > &undInst, DoubleBarrier::Type barrierType, Handle< Quote > spot, Real barrierLow, Real barrierHigh, Real rebate, const QuantLib::Currency ccy, const QuantLib::Date &startDate, const boost::shared_ptr< QuantLib::Index > &index, const QuantLib::Calendar &calendar, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< boost::shared_ptr< QuantLib::Instrument >> &additionalInstruments=std::vector< boost::shared_ptr< QuantLib::Instrument >>(), const std::vector< Real > &additionalMultipliers=std::vector< Real >()) |
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bool | checkBarrier (Real spot, bool isTouchingOnly) const override |
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bool | exercise () const override |
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| BarrierOptionWrapper (const boost::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const QuantLib::Date &exerciseDate, const bool isPhysicalDelivery, const boost::shared_ptr< QuantLib::Instrument > &undInst, Barrier::Type barrierType, Handle< Quote > spot, Real rebate, const QuantLib::Currency ccy, const QuantLib::Date &startDate, const boost::shared_ptr< QuantLib::Index > &index, const QuantLib::Calendar &calendar, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< boost::shared_ptr< QuantLib::Instrument >> &additionalInstruments=std::vector< boost::shared_ptr< QuantLib::Instrument >>(), const std::vector< Real > &additionalMultipliers=std::vector< Real >()) |
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const std::map< std::string, boost::any > & | additionalResults () const override |
| Return the additional results of this instrument.
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| OptionWrapper (const boost::shared_ptr< QuantLib::Instrument > &inst, const bool isLongOption, const std::vector< QuantLib::Date > &exerciseDate, const bool isPhysicalDelivery, const std::vector< boost::shared_ptr< QuantLib::Instrument >> &undInst, const Real multiplier=1.0, const Real undMultiplier=1.0, const std::vector< boost::shared_ptr< QuantLib::Instrument >> &additionalInstruments=std::vector< boost::shared_ptr< QuantLib::Instrument >>(), const std::vector< Real > &additionalMultipliers=std::vector< Real >()) |
| Constructor.
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void | initialise (const std::vector< QuantLib::Date > &dates) override |
| Initialise with the given date grid.
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void | reset () override |
| reset is called every time a new path is about to be priced. More...
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QuantLib::Real | NPV () const override |
| Return the NPV of this instrument.
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Real | multiplier2 () const override |
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const std::map< std::string, boost::any > & | additionalResults () const override |
| Return the additional results of this instrument.
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void | updateQlInstruments () override |
| call update on enclosed instrument(s)
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bool | isOption () override |
| is it an Option?
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const std::vector< boost::shared_ptr< QuantLib::Instrument > > & | underlyingInstruments () const |
| return the underlying instruments
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const boost::shared_ptr< QuantLib::Instrument > & | activeUnderlyingInstrument (const bool calculate=false) const |
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bool | isLong () const |
| return true if option is long, false if option is short
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bool | isExercised () const |
| return true if option is exercised
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bool | isPhysicalDelivery () const |
| return true for physical delivery, false for cash settlement
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Real | underlyingMultiplier () const |
| the underlying multiplier
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const QuantLib::Date & | exerciseDate () const |
| the (actual) date the option was exercised
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void | enableExercise () |
| disable exercise decisions
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void | disableExercise () |
| enable exercise decisions
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| InstrumentWrapper (const boost::shared_ptr< QuantLib::Instrument > &inst, const Real multiplier=1.0, const std::vector< boost::shared_ptr< QuantLib::Instrument >> &additionalInstruments=std::vector< boost::shared_ptr< QuantLib::Instrument >>(), const std::vector< Real > &additionalMultipliers=std::vector< Real >()) |
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QuantLib::Real | additionalInstrumentsNPV () const |
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boost::shared_ptr< QuantLib::Instrument > | qlInstrument (const bool calculate=false) const |
| Inspectors. More...
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Real | multiplier () const |
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const std::vector< boost::shared_ptr< QuantLib::Instrument > > & | additionalInstruments () const |
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const std::vector< Real > & | additionalMultipliers () const |
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boost::timer::nanosecond_type | getCumulativePricingTime () const |
| Get cumulative timing spent on pricing.
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std::size_t | getNumberOfPricings () const |
| Get number of pricings.
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void | resetPricingStats () const |
| Reset pricing statistics.
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