Class MultiAssetOptionResults

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

The results of a MultiAssetOption's engine: the instrument's results and QuantLib's Greeks, each null where the engine doesn't compute it.

public record MultiAssetOptionResults : InstrumentResults, IEquatable<InstrumentResults>, IEquatable<MultiAssetOptionResults>

Inheritance

object

InstrumentResults

MultiAssetOptionResults

Implements

IEquatable<InstrumentResults>

IEquatable<MultiAssetOptionResults>

Derived

EverestOptionResults

MargrabeOptionResults

Inherited Members

InstrumentResults.Result<T>(string)

InstrumentResults.NPV

InstrumentResults.ErrorEstimate

InstrumentResults.ValuationDate

InstrumentResults.AdditionalResults

object.GetType()

object.MemberwiseClone()

object.Equals(object, object)

object.ReferenceEquals(object, object)

Remarks

An extension point, as in QuantLib's results class: the results of options derived from MultiAssetOption derive from it (Margrabe's option adds its two deltas and gammas). QuantLib's Greeks are its members.

Where QuantLib's option throws "<greek> not provided" on reading a Greek its engine left null, the member is null and the caller checks it, as InstrumentResults documents for every result.

Constructors

MultiAssetOptionResults()

public MultiAssetOptionResults()

MultiAssetOptionResults(MultiAssetOptionResults)

protected MultiAssetOptionResults(MultiAssetOptionResults original)

Parameters

original MultiAssetOptionResults

Properties

Delta

Gets the sensitivity to the spot.

public double? Delta { get; init; }

Property Value

double?

DividendRho

Gets the sensitivity to the dividend yield.

public double? DividendRho { get; init; }

Property Value

double?

EqualityContract

protected override Type EqualityContract { get; }

Property Value

Type

Gamma

Gets the second-order sensitivity to the spot.

public double? Gamma { get; init; }

Property Value

double?

Rho

Gets the sensitivity to the risk-free rate.

public double? Rho { get; init; }

Property Value

double?

Theta

Gets the sensitivity to time.

public double? Theta { get; init; }

Property Value

double?

Vega

Gets the sensitivity to the volatility.

public double? Vega { get; init; }

Property Value

double?

Methods

Equals(InstrumentResults?)

public override sealed bool Equals(InstrumentResults? other)

Parameters

other InstrumentResults

Returns

bool

Equals(MultiAssetOptionResults?)

public virtual bool Equals(MultiAssetOptionResults? other)

Parameters

other MultiAssetOptionResults

Returns

bool

Equals(object?)

public override bool Equals(object? obj)

Parameters

obj object

Returns

bool

GetHashCode()

public override int GetHashCode()

Returns

int

PrintMembers(StringBuilder)

protected override bool PrintMembers(StringBuilder builder)

Parameters

builder StringBuilder

Returns

bool

ToString()

public override string ToString()

Returns

string

Operators

operator ==(MultiAssetOptionResults?, MultiAssetOptionResults?)

public static bool operator ==(MultiAssetOptionResults? left, MultiAssetOptionResults? right)

Parameters

left MultiAssetOptionResults

right MultiAssetOptionResults

Returns

bool

operator !=(MultiAssetOptionResults?, MultiAssetOptionResults?)

public static bool operator !=(MultiAssetOptionResults? left, MultiAssetOptionResults? right)

Parameters

left MultiAssetOptionResults

right MultiAssetOptionResults

Returns

bool