QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Classes | Public Member Functions | Protected Attributes | List of all members
ContinuousPartialFixedLookbackOption Class Reference

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 boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
 
void setupArguments (PricingEngine::arguments *) const
 
- Public Member Functions inherited from ContinuousFixedLookbackOption
 ContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StrikedTypePayoff > &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< Payoffpayoff ()
 
boost::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 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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set< boost::shared_ptr< Observable > >::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

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
boost::shared_ptr< Payoffpayoff_
 
boost::shared_ptr< Exerciseexercise_
 
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
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 }
 
- 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-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).

Member Function Documentation

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 ContinuousFixedLookbackOption.