Arguments for commodity spread option calculation More...
#include <qle/instruments/commodityspreadoption.hpp>
Public Member Functions | |
void | validate () const override |
Public Attributes | |
boost::shared_ptr< CommodityCashFlow > | longAssetFlow |
boost::shared_ptr< CommodityCashFlow > | shortAssetFlow |
Real | quantity |
Real | strikePrice |
Real | effectiveStrike |
Option::Type | type |
Date | paymentDate |
boost::shared_ptr< FxIndex > | longAssetFxIndex |
boost::shared_ptr< FxIndex > | shortAssetFxIndex |
bool | isCalendarSpread |
Date | longAssetLastPricingDate |
Date | shortAssetLastPricingDate |
Settlement::Type | settlementType |
Settlement::Method | settlementMethod |
Arguments for commodity spread option calculation