- QuantLib
- WriterExtensibleOption
Writer-extensible option. More...
#include <ql/experimental/exoticoptions/writerextensibleoption.hpp>
Classes | |
class | arguments |
Additional arguments for writer-extensible option. More... | |
class | engine |
Base engine. More... | |
Public Member Functions | |
WriterExtensibleOption (const boost::shared_ptr< PlainVanillaPayoff > &payoff1, const boost::shared_ptr< Exercise > &exercise1, const boost::shared_ptr< PlainVanillaPayoff > &payoff2, const boost::shared_ptr< Exercise > &exercise2) | |
boost::shared_ptr< Payoff > | payoff2 () |
boost::shared_ptr< Exercise > | exercise2 () |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
void | setupArguments (PricingEngine::arguments *) const |
Writer-extensible option.
WriterExtensibleOption | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff1, |
const boost::shared_ptr< Exercise > & | exercise1, | ||
const boost::shared_ptr< PlainVanillaPayoff > & | payoff2, | ||
const boost::shared_ptr< Exercise > & | exercise2 | ||
) |
payoff1 | The first payoff |
exercise1 | The first exercise date |
payoff2 | The payoff of the extended option |
exercise2 | The second exercise date |
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 Option.