QuantLib_WriterExtensibleOption man page

WriterExtensibleOption — Writer-extensible option.  


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

Inherits OneAssetOption.


class arguments
Additional arguments for writer-extensible option.
class engine
Base engine.

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

Additional Inherited Members

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)


payoff1 The first payoff
exercise1 The first exercise date
payoff2 The payoff of the extended option
exercise2 The 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 Instrument.


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Referenced By

The man pages exercise2(3), payoff2(3) and WriterExtensibleOption(3) are aliases of QuantLib_WriterExtensibleOption(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib