Continuous-partial-fixed lookback option. More...
#include <ql/instruments/lookbackoption.hpp>
Inheritance diagram for ContinuousPartialFixedLookbackOption:Classes | |
| class | arguments |
| Arguments for continuous partial fixed lookback option calculation More... | |
| class | engine |
| Continuous partial fixed lookback engine base class More... | |
Public Member Functions | |
| ContinuousPartialFixedLookbackOption (Date lookbackPeriodStart, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise) | |
| void | setupArguments (PricingEngine::arguments *) const |
Public Member Functions inherited from ContinuousFixedLookbackOption | |
| ContinuousFixedLookbackOption (Real currentMinmax, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise) | |
Public Member Functions inherited from OneAssetOption | |
| OneAssetOption (const ext::shared_ptr< Payoff > &, const ext::shared_ptr< Exercise > &) | |
| bool | isExpired () const |
| returns whether the instrument might have value greater than zero. | |
| Real | delta () const |
| Real | deltaForward () const |
| Real | elasticity () const |
| Real | gamma () const |
| Real | theta () const |
| Real | thetaPerDay () const |
| Real | vega () const |
| Real | rho () const |
| Real | dividendRho () const |
| Real | strikeSensitivity () const |
| Real | itmCashProbability () const |
| void | fetchResults (const PricingEngine::results *) const |
Public Member Functions inherited from Option | |
| Option (const ext::shared_ptr< Payoff > &payoff, const ext::shared_ptr< Exercise > &exercise) | |
| void | setupArguments (PricingEngine::arguments *) const |
| ext::shared_ptr< Payoff > | payoff () |
| ext::shared_ptr< Exercise > | exercise () |
Public Member Functions inherited from Instrument | |
| Real | NPV () const |
| returns the net present value of the instrument. | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. | |
| const std::map< std::string, boost::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| void | alwaysForwardNotifications () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Protected Attributes | |
| Date | lookbackPeriodStart_ |
Protected Attributes inherited from ContinuousFixedLookbackOption | |
| Real | minmax_ |
Protected Attributes inherited from OneAssetOption | |
| Real | delta_ |
| Real | deltaForward_ |
| Real | elasticity_ |
| Real | gamma_ |
| Real | theta_ |
| Real | thetaPerDay_ |
| Real | vega_ |
| Real | rho_ |
| Real | dividendRho_ |
| Real | strikeSensitivity_ |
| Real | itmCashProbability_ |
Protected Attributes inherited from Option | |
| ext::shared_ptr< Payoff > | payoff_ |
| ext::shared_ptr< Exercise > | exercise_ |
Protected Attributes inherited from Instrument | |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
| ext::shared_ptr< PricingEngine > | engine_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| bool | alwaysForward_ |
Additional Inherited Members | |
Public Types inherited from Option | |
| enum | Type { Put = -1, Call = 1 } |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from OneAssetOption | |
| void | setupExpired () const |
Protected Member Functions inherited from Instrument | |
| void | calculate () const |
| virtual void | performCalculations () const |
Protected Member Functions inherited from LazyObject | |
Related Functions inherited from Option | |
| std::ostream & | operator<< (std::ostream &, Option::Type) |
Continuous-partial-fixed lookback option.
From http://help.rmetrics.org/fExoticOptions/LookbackOptions.html :
For a partial-time fixed strike lookback option, the lookback period starts at a predetermined date after the initialization date of the option. The partial-time fixed strike lookback call option payoff is given by the difference between the maximum observed price of the underlying asset during the lookback period and the fixed strike price. The partial-time fixed strike lookback put option payoff is given by the difference between the fixed strike price and the minimum observed price of the underlying asset during the lookback period. The partial-time fixed strike lookback option is cheaper than a similar standard fixed strike lookback option. Partial-time fixed strike lookback options can be priced analytically using a model introduced by Heynen and Kat (1994).
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virtual |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from ContinuousFixedLookbackOption.