Options

Overview

functions to construct and use Option objects.

Function List

qlBarrierOption ()
qlCaAsianOption ()
qlDaAsianOption ()
qlDelta ()
qlDeltaForward ()
qlDividendRho ()
qlDividendVanillaOption ()
qlElasticity ()
qlEuropeanOption ()
qlForwardVanillaOption ()
qlGamma ()
qlItmCashProbability ()
qlQuantoForwardVanillaOption ()
qlQuantoVanillaOption ()
qlRho ()
qlTheta ()
qlThetaPerDay ()
qlVanillaOption ()
qlVega ()

Function Documentation

qlBarrierOption

string returnValue
 
qlBarrierOption(
        string ObjectId
        string BarrierType
        double Barrier
        double Rebate
        string Payoff
        string Exercise
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class BarrierOption and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
BarrierType	barrier type.
Barrier	barrier.
Rebate	rebate.
Payoff	StrikedTypePayoff object ID.
Exercise	Exercise object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlCaAsianOption

string returnValue
 
qlCaAsianOption(
        string ObjectId
        string AverageType
        string Payoff
        string Exercise
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ContinuousAveragingAsianOption and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
AverageType	average type.
Payoff	StrikedTypePayoff object ID.
Exercise	Exercise object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlDaAsianOption

string returnValue
 
qlDaAsianOption(
        string ObjectId
        string AverageType
        double RunningAccumulator
        long PastFixings
        vector<long> FixingDates
        string Payoff
        string Exercise
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DiscreteAveragingAsianOption and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
AverageType	average type.
RunningAccumulator	running accumulator.
PastFixings	past fixings.
FixingDates	fixing dates.
Payoff	StrikedTypePayoff object ID.
Exercise	Exercise object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlDelta

double returnValue
 
qlDelta(
        string ObjectId
        any Trigger)

Description:

delta of an option.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OneAssetOption object
Trigger	dependency tracking trigger

qlDeltaForward

double returnValue
 
qlDeltaForward(
        string ObjectId
        any Trigger)

Description:

delta forward of an option.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OneAssetOption object
Trigger	dependency tracking trigger

qlDividendRho

double returnValue
 
qlDividendRho(
        string ObjectId
        any Trigger)

Description:

dividend rho of an option.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OneAssetOption object
Trigger	dependency tracking trigger

qlDividendVanillaOption

string returnValue
 
qlDividendVanillaOption(
        string ObjectId
        string Payoff
        string Exercise
        vector<long> DividendDates
        vector<double> Dividends
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class DividendVanillaOption and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Payoff	StrikedTypePayoff object ID.
Exercise	Exercise object ID.
DividendDates	vector of dividend dates.
Dividends	vector of dividends.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlElasticity

double returnValue
 
qlElasticity(
        string ObjectId
        any Trigger)

Description:

elasticity of an option.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OneAssetOption object
Trigger	dependency tracking trigger

qlEuropeanOption

string returnValue
 
qlEuropeanOption(
        string ObjectId
        string Payoff
        string Exercise
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class EuropeanOption and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Payoff	StrikedTypePayoff object ID.
Exercise	Exercise object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlForwardVanillaOption

string returnValue
 
qlForwardVanillaOption(
        string ObjectId
        double Moneyness
        long ResetDate
        string Payoff
        string Exercise
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ForwardVanillaOption and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Moneyness	moneyness.
ResetDate	reset date.
Payoff	StrikedTypePayoff object ID.
Exercise	Exercise object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlGamma

double returnValue
 
qlGamma(
        string ObjectId
        any Trigger)

Description:

gamma of an option.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OneAssetOption object
Trigger	dependency tracking trigger

qlItmCashProbability

double returnValue
 
qlItmCashProbability(
        string ObjectId
        any Trigger)

Description:

itm cash probability of an option.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OneAssetOption object
Trigger	dependency tracking trigger

qlQuantoForwardVanillaOption

string returnValue
 
qlQuantoForwardVanillaOption(
        string ObjectId
        double Moneyness
        long ResetDate
        string Payoff
        string Exercise
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class QuantoForwardVanillaOption and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Moneyness	moneyness.
ResetDate	reset date.
Payoff	StrikedTypePayoff object ID.
Exercise	Exercise object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlQuantoVanillaOption

string returnValue
 
qlQuantoVanillaOption(
        string ObjectId
        string Payoff
        string Exercise
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class QuantoVanillaOption and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Payoff	StrikedTypePayoff object ID.
Exercise	Exercise object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRho

double returnValue
 
qlRho(
        string ObjectId
        any Trigger)

Description:

rho of an option.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OneAssetOption object
Trigger	dependency tracking trigger

qlTheta

double returnValue
 
qlTheta(
        string ObjectId
        any Trigger)

Description:

theta of an option.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OneAssetOption object
Trigger	dependency tracking trigger

qlThetaPerDay

double returnValue
 
qlThetaPerDay(
        string ObjectId
        any Trigger)

Description:

theta per day of an option.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OneAssetOption object
Trigger	dependency tracking trigger

qlVanillaOption

string returnValue
 
qlVanillaOption(
        string ObjectId
        string Payoff
        string Exercise
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class VanillaOption and return its id

Supported Platforms:

Excel, Calc, C, Guile, C++

Parameters

ObjectId	id of object to be created
Payoff	StrikedTypePayoff object ID.
Exercise	Exercise object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlVega

double returnValue
 
qlVega(
        string ObjectId
        any Trigger)

Description:

vega of an option.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OneAssetOption object
Trigger	dependency tracking trigger