QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Classes | Public Member Functions | Protected Attributes | List of all members
ContinuousPartialFloatingLookbackOption Class Reference

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 ext::shared_ptr< TypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
 
void setupArguments (PricingEngine::arguments *) const
 
- Public Member Functions inherited from ContinuousFloatingLookbackOption
 ContinuousFloatingLookbackOption (Real currentMinmax, const ext::shared_ptr< TypePayoff > &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< Payoffpayoff ()
 
ext::shared_ptr< Exerciseexercise ()
 
- 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 DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename 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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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

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
ext::shared_ptr< Payoffpayoff_
 
ext::shared_ptr< Exerciseexercise_
 
- Protected Attributes inherited from Instrument
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
ext::shared_ptr< PricingEngineengine_
 
- 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

Detailed Description

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).

Member Function Documentation

◆ setupArguments()

void setupArguments ( PricingEngine::arguments *  ) const
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.