Outperformance option. More...

#include <qle/instruments/outperformanceoption.hpp>

Inheritance diagram for OutperformanceOption:

Classes
class	arguments
	Arguments for Outperformance option calculation More...

class	engine
	base class for outperformance option engines More...

class	results
	Results from Outperformance option calculation More...

Public Member Functions
	OutperformanceOption (const QuantLib::ext::shared_ptr< Exercise > &exercise, const Option::Type optionType, const Real strikeReturn, const Real initialValue1, const Real initialValue2, const Real notional, const Real knockInPrice=Null< Real >(), const Real knockOutPrice=Null< Real >(), QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex1=nullptr, QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex2=nullptr)

Instrument interface
bool	isExpired () const override

void	setupArguments (PricingEngine::arguments *) const override

QuantLib::ext::shared_ptr< Exercise >	exercise () const

Option::Type	optionType () const

Real	strikeReturn () const

Real	initialValue1 () const

Real	initialValue2 () const

Real	notional () const

Real	knockInPrice () const

Real	knockOutPrice () const

QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex1 () const

QuantLib::ext::shared_ptr< QuantExt::FxIndex >	fxIndex2 () const

Detailed Description

Outperformance option.

Classes