Class HimalayaOption

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

A Himalaya option on a basket: at each fixing date the best performer since inception among the assets left joins the average and leaves the basket; at the last fixing the option pays the average's excess over the strike.

[Experimental("NQL0001")]
public sealed class HimalayaOption : MultiAssetOption

Inheritance

object

Instrument

Option

MultiAssetOption

HimalayaOption

Inherited Members

MultiAssetOption.IsExpired(EvaluationContext)

MultiAssetOption.SetupExpired()

MultiAssetOption.FetchResults(InstrumentResults)

Option.Validate()

Option.Payoff

Option.Exercise

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable; its payoff is a plain-vanilla call at the strike and its exercise European at the last fixing date, as QuantLib builds them. Its engines return a MultiAssetOptionResults, QuantLib's results class adding nothing to the multi-asset option's. QuantLib doesn't manage seasoned options: a fixing before the evaluation date is refused by the engine. The paths start at the evaluation date, the performances' inception, so a fixing on it is that inception rather than a selection (every asset's performance is 1 there), as QuantLib's grid reads it and its own case lists one.

Constructors

HimalayaOption(IEnumerable<Date>, double)

Initializes a new instance of the HimalayaOption class.

public HimalayaOption(IEnumerable<Date> fixingDates, double strike)

Parameters

fixingDates IEnumerable<Date>

The fixing dates, the last the exercise date.

strike double

The strike.

Exceptions

ArgumentNullException

fixingDates is null.

NanoQLException

No fixing date is given ("no fixing dates given"), where QuantLib's constructor reads the last of none.

Properties

FixingDates

Gets the fixing dates.

public ImmutableArray<Date> FixingDates { get; }

Property Value

ImmutableArray<Date>