DividendBarrierOption Class Reference

Single-asset barrier option with discrete dividends. More...

#include <ql/instruments/dividendbarrieroption.hpp>

Inheritance diagram for DividendBarrierOption:

Classes
class	arguments
	Arguments for dividend barrier option calculation More...
class	engine
	Dividend-barrier-option engine base class More...

Public Member Functions
	DividendBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const std::vector< Date > &dividendDates, const std::vector< Real > &dividends)
Public Member Functions inherited from BarrierOption
	BarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
Volatility	impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
Public Member Functions inherited from OneAssetOption
	OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &)
void	fetchResults (const PricingEngine::results *) const
bool	isExpired () const
	returns whether the instrument might have value greater than zero.
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
Public Member Functions inherited from Option
	Option (const boost::shared_ptr< Payoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
void	setupArguments (PricingEngine::arguments *) const
boost::shared_ptr< Payoff >	payoff ()
boost::shared_ptr< Exercise >	exercise ()
Public Member Functions inherited from Instrument
Real	NPV () const
	returns the net present value of the instrument.
Real	errorEstimate () const
	returns the error estimate on the NPV when available.
const Date &	valuationDate () const
	returns the date the net present value refers to.
template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.
const std::map< std::string, boost::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const boost::shared_ptr< PricingEngine > &)
	set the pricing engine to be used.
Public Member Functions inherited from LazyObject
void	update ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool >	registerWith (const boost::shared_ptr< Observable > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()

Protected Member Functions
void	setupArguments (PricingEngine::arguments *) const

Additional Inherited Members
Public Types inherited from Option
enum	Type { Put = -1, Call = 1 }
Protected Attributes inherited from BarrierOption
Barrier::Type	barrierType_
Real	barrier_
Real	rebate_
Related Functions inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

Detailed Description

Single-asset barrier option with discrete dividends.

Member Function Documentation

void setupArguments ( PricingEngine::arguments *  ) const

protectedvirtual

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 BarrierOption.