WriterExtensibleOption Class Reference

Writer-extensible option. More...

#include <ql/experimental/exoticoptions/writerextensibleoption.hpp>

Inheritance diagram for WriterExtensibleOption:

List of all members.

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< Payoffpayoff2 ()
boost::shared_ptr< Exerciseexercise2 ()
bool isExpired () const
 returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const

Detailed Description

Writer-extensible option.


Constructor & Destructor Documentation

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 
)
Parameters:
payoff1The first payoff
exercise1The first exercise date
payoff2The payoff of the extended option
exercise2The second exercise date

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 Option.