QuantLib_WriterExtensibleOption man page

WriterExtensibleOption — Writer-extensible option.  

Synopsis

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

Inherits OneAssetOption.

Classes

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)

Parameters:

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 1 2017 Version 1.10.1 QuantLib