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| DividendBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const std::vector< Date > ÷ndDates, const std::vector< Real > ÷nds) |
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| BarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) |
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| Volatility | impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const |
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| OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) |
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| void | fetchResults (const PricingEngine::results *) const |
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bool | isExpired () const |
| | returns whether the instrument might have value greater than zero.
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Real | delta () const |
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Real | deltaForward () const |
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Real | elasticity () const |
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Real | gamma () const |
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Real | theta () const |
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Real | thetaPerDay () const |
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Real | vega () const |
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Real | rho () const |
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Real | dividendRho () const |
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Real | strikeSensitivity () const |
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Real | itmCashProbability () const |
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| Option (const boost::shared_ptr< Payoff > &payoff, const boost::shared_ptr< Exercise > &exercise) |
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| void | setupArguments (PricingEngine::arguments *) const |
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boost::shared_ptr< Payoff > | payoff () |
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boost::shared_ptr< Exercise > | exercise () |
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Real | NPV () const |
| | returns the net present value of the instrument.
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Real | errorEstimate () const |
| | returns the error estimate on the NPV when available.
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const Date & | valuationDate () const |
| | returns the date the net present value refers to.
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template<typename T > |
| T | result (const std::string &tag) const |
| | returns any additional result returned by the pricing engine.
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const std::map< std::string, boost::any > & | additionalResults () const |
| | returns all additional result returned by the pricing engine.
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| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
| | set the pricing engine to be used. More...
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| void | update () |
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| void | recalculate () |
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| void | freeze () |
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| void | unfreeze () |
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| void | alwaysForwardNotifications () |
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| Observable (const Observable &) |
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| Observable & | operator= (const Observable &) |
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| void | notifyObservers () |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
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| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
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Size | unregisterWith (const boost::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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| virtual void | deepUpdate () |
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Single-asset barrier option with discrete dividends.