Commodity Spread Option. More...
#include <qle/instruments/commodityspreadoption.hpp>
Classes | |
class | arguments |
Arguments for commodity spread option calculation More... | |
class | engine |
base class for commodity spread option engines More... | |
Public Member Functions | |
CommoditySpreadOption (const boost::shared_ptr< CommodityCashFlow > &longAssetCashflow, const boost::shared_ptr< CommodityCashFlow > &shortAssetCashflow, const ext::shared_ptr< Exercise > &exercise, const Real quantity, const Real strikePrice, Option::Type type, const QuantLib::Date &paymentDate=Date(), const boost::shared_ptr< FxIndex > &longAssetFxIndex=nullptr, const boost::shared_ptr< FxIndex > &shortAssetFxIndex=nullptr, Settlement::Type delivery=Settlement::Physical, Settlement::Method settlementMethod=Settlement::PhysicalOTC) | |
Instrument interface | |
bool | isExpired () const override |
void | setupArguments (PricingEngine::arguments *) const override |
Inspectors | |
const boost::shared_ptr< CommodityCashFlow > & | underlyingLongAssetFlow () const |
const boost::shared_ptr< CommodityCashFlow > & | underlyingShortAssetFlow () const |
const boost::shared_ptr< FxIndex > & | longAssetFxIndex () const |
const boost::shared_ptr< FxIndex > & | shortAssetFxIndex () const |
Real | effectiveStrike () const |
bool | isCalendarSpread () const |
Commodity Spread Option.