Continuous-partial-floating lookback option. More...
#include <ql/instruments/lookbackoption.hpp>
Inheritance diagram for ContinuousPartialFloatingLookbackOption:Classes | |
| class | arguments |
| Arguments for continuous partial floating lookback option calculation More... | |
| class | engine |
| Continuous partial floating lookback engine base class More... | |
Public Member Functions | |
| ContinuousPartialFloatingLookbackOption (Real currentMinmax, Real lambda, Date lookbackPeriodEnd, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
| void | setupArguments (PricingEngine::arguments *) const |
Public Member Functions inherited from ContinuousFloatingLookbackOption | |
| ContinuousFloatingLookbackOption (Real currentMinmax, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
Public Member Functions inherited from OneAssetOption | |
| OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) | |
| void | fetchResults (const PricingEngine::results *) const |
| 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 |
Public Member Functions inherited from Option | |
| Option (const boost::shared_ptr< Payoff > &payoff, const boost::shared_ptr< Exercise > &exercise) | |
| void | setupArguments (PricingEngine::arguments *) const |
| boost::shared_ptr< Payoff > | payoff () |
| boost::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 boost::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 () |
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 boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Protected Attributes | |
| Real | lambda_ |
| Date | lookbackPeriodEnd_ |
Protected Attributes inherited from ContinuousFloatingLookbackOption | |
| 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 | |
| boost::shared_ptr< Payoff > | payoff_ |
| boost::shared_ptr< Exercise > | exercise_ |
Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
Additional Inherited Members | |
Public Types inherited from Option | |
| enum | Type { Put = -1, Call = 1 } |
Public Types inherited from Observer | |
| typedef std::set< boost::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-floating lookback option.
From http://help.rmetrics.org/fExoticOptions/LookbackOptions.html :
For a partial-time floating strike lookback option, the lookback period starts at time zero and ends at an arbitrary date before expiration. Except for the partial lookback period, the option is similar to a floating strike lookback option. The partial-time floating strike lookback option is cheaper than a similar standard floating strike lookback option. Partial-time floating 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 ContinuousFloatingLookbackOption.