- QuantLib
- OneAssetOption
 
Base class for options on a single asset. More...
#include <ql/instruments/oneassetoption.hpp>

| Classes | |
| class | results | 
| Results from single-asset option calculation  More... | |
| Public Member Functions | |
| OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) | |
| void | fetchResults (const PricingEngine::results *) const | 
| Instrument interface | |
| bool | isExpired () const | 
| returns whether the instrument might have value greater than zero. | |
| greeks | |
| 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 | 
| Protected Member Functions | |
| void | setupExpired () const | 
| Protected Attributes | |
| Real | delta_ | 
| Real | deltaForward_ | 
| Real | elasticity_ | 
| Real | gamma_ | 
| Real | theta_ | 
| Real | thetaPerDay_ | 
| Real | vega_ | 
| Real | rho_ | 
| Real | dividendRho_ | 
| Real | strikeSensitivity_ | 
| Real | itmCashProbability_ | 
Base class for options on a single asset.
| void fetchResults | ( | const PricingEngine::results * | r | ) | const  [virtual] | 
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Reimplemented in QuantoVanillaOption, ForwardVanillaOption, QuantoBarrierOption, and QuantoForwardVanillaOption.
| void setupExpired | ( | ) | const  [protected, virtual] | 
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.