#include <Option.h>
Inheritance diagram for BondCall:
Definition at line 480 of file Option.h.
Public Member Functions | |
Bond * | getBond () |
Real | getStrike () |
BondCall (Bond *D, Real strike, int s) | |
Real | nextForwardPayoff () |
Real | controlVariateMean () |
const RealArray1D | nextControlledForwardPayoff () |
Real | forwardPayoff (StandardBrownianNode *node, LmmLattice *theLattice, int s) |
Real | analyticForwardPrice () const |
std::ostream & | printSelf (std::ostream &os) const |
Static Public Member Functions | |
BondCall * | sample (int p, int q, int lmmType=0, int volType=2, int corrType=1) |
BondCall * | sampleCallOnZeroCouponBond (int p, int lmmType=0, int volType=2, int corrType=1) |
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Call on general bond portfolio
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The underlying bond. |
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The strike price. Definition at line 496 of file Option.h. References Real. |
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Sample call on bond with random coupons in [0.5,1.5] received at . Strike price = cash price of the bond, expiration at .
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Sample call on zero coupon bond maturing at exercisable at time , strike price = cash price This is a worst case for the assumptions of the analytic price formulas. Dimension of LMM is chosen to be p+3.
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Next random sample of the payoff payoff compounded forward from time to time . Reimplemented from Option. |
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Mean of the control variate. This is the forward price of the bond at time zero. Reimplemented from Option. |
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Vector Z with Z[0] the next forward payoff random sample and Z[1] the corresponding control variate. Return by value since it is so small. Reimplemented from Option. |
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Payoff at node compounded forward to time . Specialization overrides base class template.
Reimplemented from LiborDerivative. |
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See book, 6.9.4. Reimplemented from Option. |
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Message identifying the derivative. Reimplemented from LiborDerivative. |