Commodity Average Price Option. More...
#include <qle/instruments/commodityapo.hpp>
Classes | |
class | arguments |
Arguments for commodity APO calculation More... | |
class | engine |
base class for APO engines More... | |
Public Member Functions | |
CommodityAveragePriceOption (const boost::shared_ptr< CommodityIndexedAverageCashFlow > &flow, const ext::shared_ptr< Exercise > &exercise, const Real quantity, const Real strikePrice, Option::Type type, Settlement::Type delivery=Settlement::Physical, Settlement::Method settlementMethod=Settlement::PhysicalOTC, const Real barrierLevel=Null< Real >(), Barrier::Type barrierType=Barrier::Type::DownIn, Exercise::Type barrierStyle=Exercise::American, const boost::shared_ptr< FxIndex > &fxIndex=nullptr) | |
Instrument interface | |
bool | isExpired () const override |
void | setupArguments (PricingEngine::arguments *) const override |
Inspectors | |
Settlement::Type | settlementType () const |
Settlement::Method | settlementMethod () const |
const boost::shared_ptr< CommodityIndexedAverageCashFlow > & | underlyingFlow () const |
const boost::shared_ptr< FxIndex > & | fxIndex () const |
Real | barrierLevel () const |
Barrier::Type | barrierType () const |
Exercise::Type | barrierStyle () const |
Real | effectiveStrike () const |
Real | accrued (const Date &refDate) const |
Commodity Average Price Option.