#include <qle/instruments/cashsettledeuropeanoption.hpp>
Classes | |
class | arguments |
class | engine |
Engine. More... | |
Public Member Functions | |
CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate, bool automaticExercise, const boost::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >()) | |
Constructor for cash settled vanilla European option. | |
CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, const QuantLib::Date &expiryDate, QuantLib::Natural paymentLag, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, bool automaticExercise, const boost::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >()) | |
Constructor for cash settled vanilla European option. | |
CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, QuantLib::Real cashPayoff, const QuantLib::Date &expiryDate, const QuantLib::Date &paymentDate, bool automaticExercise, const boost::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >()) | |
Constructor for cash settled vanilla European option with digital payoff. | |
CashSettledEuropeanOption (QuantLib::Option::Type type, QuantLib::Real strike, QuantLib::Real cashPayoff, const QuantLib::Date &expiryDate, QuantLib::Natural paymentLag, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, bool automaticExercise, const boost::shared_ptr< QuantLib::Index > &underlying=nullptr, bool exercised=false, QuantLib::Real priceAtExercise=QuantLib::Null< QuantLib::Real >()) | |
Constructor for cash settled vanilla European option with digital payoff. | |
Instrument interface | |
bool | isExpired () const override |
Account for cash settled European options not being expired until payment is made. | |
void | setupArguments (QuantLib::PricingEngine::arguments *args) const override |
Set up the extra arguments. | |
void | exercise (QuantLib::Real priceAtExercise) |
Mark option as manually exercised at the given priceAtExercise . | |
Vanilla cash settled European options allowing for deferred payment and automatic exercise.