thetaPerDay (3) - Linux Manuals

thetaPerDay: Base class for options on a single asset.

Command to display thetaPerDay manual in Linux: $ man 3 thetaPerDay

NAME

QuantLib::OneAssetOption - Base class for options on a single asset.

SYNOPSIS

#include <ql/instruments/oneassetoption.hpp>

Inherits QuantLib::Option.

Inherited by BarrierOption, CliquetOption, ContinuousAveragingAsianOption, ContinuousFixedLookbackOption, ContinuousFloatingLookbackOption, option, DiscreteAveragingAsianOption, DividendVanillaOption, ForwardVanillaOption, QuantoVanillaOption, and VanillaOption.

Classes

class results
Results from single-asset option calculation

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 is still tradable.

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_

Detailed Description

Base class for options on a single asset.

Member Function Documentation

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 ForwardVanillaOption, QuantoBarrierOption, QuantoForwardVanillaOption, and QuantoVanillaOption.

void setupExpired () const [protected, virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.