Class PagodaOption

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

A Pagoda option on a portfolio: at expiry it pays a fraction of the portfolio's performance over the fixing periods, capped at a roof and floored at 0.

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

Inheritance

object

Instrument

Option

MultiAssetOption

PagodaOption

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 NullPayoff and its exercise European at the last fixing date, as QuantLib builds them. Each period's performance is the sum of the assets' returns over the period, each weighted by the asset's value at inception, averaged over the assets, as QuantLib's path pricer reads it. QuantLib doesn't manage seasoned options: a fixing before the evaluation date is refused by the engine.

Constructors

PagodaOption(IEnumerable<Date>, double, double)

Initializes a new instance of the PagodaOption class.

public PagodaOption(IEnumerable<Date> fixingDates, double roof, double fraction)

Parameters

fixingDates IEnumerable<Date>

The fixing dates, the last the exercise date.

roof double

The cap on the performance.

fraction double

The fraction of the capped performance paid.

Exceptions

ArgumentNullException

fixingDates is null.

NanoQLException

No fixing date is given ("no fixingDates 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>

Fraction

Gets the fraction of the capped performance paid.

public double Fraction { get; }

Property Value

double

Roof

Gets the cap on the performance.

public double Roof { get; }

Property Value

double