org.jquantlib.instruments

Class OneAssetOption

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Option

org.jquantlib.instruments.OneAssetOption

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

BarrierOption, ContinuousAveragingAsianOption, ConvertibleBondOption, DiscreteAveragingAsianOption, VanillaOption

public class OneAssetOption
extends Option

Base class for options on a single asset

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static interface	OneAssetOption.Arguments basic option arguments
static class	OneAssetOption.ArgumentsImpl
static interface	OneAssetOption.Engine
static class	OneAssetOption.EngineImpl The pricing engine for one-asset options
static interface	OneAssetOption.Results Results from single-asset option calculation
static class	OneAssetOption.ResultsImpl Results from single-asset option calculation

Nested classes/interfaces inherited from class org.jquantlib.instruments.Option

Option.Greeks, Option.GreeksImpl, Option.MoreGreeks, Option.MoreGreeksImpl, Option.Type

Constructor Summary

Constructors

Constructor and Description
OneAssetOption(Payoff payoff, Exercise exercise)

Method Summary

Modifier and Type	Method and Description
double	delta()
double	deltaForward()
double	dividendRho()
double	elasticity()
void	fetchResults(PricingEngine.Results r) Obtains the Instrument.Results populated by a PricingEngine.
double	gamma()
boolean	isExpired()
double	itmCashProbability()
double	rho()
void	setupExpired() This method must leave the instrument in a consistent state when the expiration condition is met.
double	strikeSensitivity()
double	theta()
double	thetaPerDay()
double	vega()

Methods inherited from class org.jquantlib.instruments.Instrument

errorEstimate, NPV, setPricingEngine

Methods inherited from class org.jquantlib.util.LazyObject

addObserver, countObservers, deleteObserver, deleteObservers, freeze, getObservers, notifyObservers, notifyObservers, recalculate, unfreeze, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

OneAssetOption

public OneAssetOption(Payoff payoff,
                      Exercise exercise)

Method Detail

isExpired

public boolean isExpired()

Specified by:

isExpired in class Instrument

Returns:

true if the instrument is still tradeable.

delta

public double delta()

deltaForward

public double deltaForward()

elasticity

public double elasticity()

gamma

public double gamma()

theta

public double theta()

thetaPerDay

public double thetaPerDay()

vega

public double vega()

rho

public double rho()

dividendRho

public double dividendRho()

strikeSensitivity

public double strikeSensitivity()

itmCashProbability

public double itmCashProbability()

setupExpired

public void setupExpired()

Description copied from class: Instrument

This method must leave the instrument in a consistent state when the expiration condition is met.

fetchResults

public void fetchResults(PricingEngine.Results r)

Description copied from class: Instrument

Obtains the Instrument.Results populated by a PricingEngine. When a derived result structure is defined for an instrument, this method should be overridden to read from it.

See Also:

Instrument.Results, PricingEngine