asset Class Reference

#include <asset.h>

List of all members.

Public Member Functions
	asset (void)
	default contructor
	asset (Real price, yieldCurve yc, bool areDividendsAsRate=true, Real divRate=0.0, valarray< flowSchedule > flowsc=valarray< flowSchedule >(), Currency ccy=USD, Real volatility=ASSET_DEFAULT_VOL)
	contructor
	asset (Real price, Real volatility=ASSET_DEFAULT_VOL)
Real	getDelta ()
	a stock is delta 1!
Real	getRho (Real T)
	Rho vs fwd.
void	setPrice (Real p)
	sets the spot price
void	setYieldCurve (yieldCurve yc)
	sets the yc
void	setDivAsRate (Real rate=0.0)
	sets the div rate
void	setDivFlows (flowSchedule fc)
	sets the flow schedule
void	setCcy (Currency ccy)
	sets the currency
void	setVolatility (Real volatility)
	sets the volatility
Real	getPrice () const
	gets the spot price
yieldCurve	getYieldCurve ()
	gets the spot price
bool	areDivAsRate ()
	gets the yc
Real	getRate ()
	gets the div rate
valarray< flowSchedule >	getFlowSchedule ()
	gets the div future flow schedule
Currency	GetCurrencyFormat ()
	gets the currency
Real	GetVolatility () const
	gets the volatility
virtual Real	Price ()
	If we have an asset model we can inherit from this class and change the method.
Real	forwardPrice (Date maturityDate)
	get the forward price
Real	forwardPrice (Real T)
	get the forward price
	~asset (void)
Private Attributes
Real	_currentPrice
yieldCurve	_yc
bool	_areDividendsAsGrowingRate
Real	_dividendGrowingRate
valarray< flowSchedule >	_announcedDividendFlows
Currency	_denomCur
Real	_volatility

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Constructor & Destructor Documentation

asset::asset (  void   )

default contructor Definition at line 32 of file asset.cpp. References _announcedDividendFlows, _areDividendsAsGrowingRate, _currentPrice, _denomCur, _dividendGrowingRate, _volatility, ASSET_DEFAULT_VOL, and USD.

asset::asset (  Real  price, yieldCurve  yc, bool  areDividendsAsRate = true, Real  divRate = 0.0, valarray< flowSchedule >  flowsc = valarray< flowSchedule >(), Currency  ccy = USD, Real  volatility = ASSET_DEFAULT_VOL )

contructor Parameters: price  : current price of the asset yc  : mkt yc areDividendsAsRate  : tells u if divs are a future schedule (usually useless) or a fixed rate divrate:  so called fixed future div rate flowsc  : anticipated future div flows CCY  : currency denomination volatility  : stock's volatility (should be a volsurface but this is a simplification) Definition at line 43 of file asset.cpp. References _announcedDividendFlows, _areDividendsAsGrowingRate, _currentPrice, _denomCur, _dividendGrowingRate, _volatility, and Real.

asset::asset (  Real  price, Real  volatility = ASSET_DEFAULT_VOL )

Definition at line 54 of file asset.cpp. References _announcedDividendFlows, _areDividendsAsGrowingRate, _currentPrice, _denomCur, _dividendGrowingRate, _volatility, Real, and USD.

asset::~asset (  void   )

Definition at line 115 of file asset.cpp.

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Member Function Documentation

bool asset::areDivAsRate (   )  [inline]

gets the yc Definition at line 112 of file asset.h. References _areDividendsAsGrowingRate.

Real asset::forwardPrice (  Real  T  )

get the forward price Definition at line 78 of file asset.cpp. References forwardPrice(), Natural, Date::plusDays(), Real, and Date::setDateToToday().

Real asset::forwardPrice (  Date  maturityDate  )

get the forward price Definition at line 97 of file asset.cpp. References _announcedDividendFlows, _areDividendsAsGrowingRate, _currentPrice, _dividendGrowingRate, Day30_360, Date::dayCount(), yieldCurve::discountFactor(), Natural, Real, and Date::setDateToToday(). Referenced by forwardPrice(), getRho(), and mainasset().

Currency asset::GetCurrencyFormat (   )  [inline]

gets the currency Definition at line 121 of file asset.h. References _denomCur, and Currency.

Real asset::getDelta (   )  [inline]

a stock is delta 1! Definition at line 82 of file asset.h. References Real.

valarray<flowSchedule> asset::getFlowSchedule (   )  [inline]

gets the div future flow schedule Definition at line 118 of file asset.h. References _announcedDividendFlows.

Real asset::getPrice (   )  const [inline]

gets the spot price Definition at line 106 of file asset.h. References _currentPrice, and Real. Referenced by convertiblebond::delta(), convertiblebond::gamma(), operator<<(), and convertiblebond::parity().

Real asset::getRate (   )  [inline]

gets the div rate Definition at line 115 of file asset.h. References _dividendGrowingRate, and Real.

Real asset::getRho (  Real  T  )

Rho vs fwd. Definition at line 67 of file asset.cpp. References forwardPrice(), Real, and yieldCurve::shiftZCBRateCurve().

Real asset::GetVolatility (   )  const [inline]

gets the volatility Definition at line 124 of file asset.h. References _volatility, and Real. Referenced by convertiblebond::delta(), convertiblebond::gamma(), and operator<<().

yieldCurve asset::getYieldCurve (   )  [inline]

gets the spot price Definition at line 109 of file asset.h.

Real asset::Price (   )  [virtual]

If we have an asset model we can inherit from this class and change the method. Definition at line 90 of file asset.cpp. References _currentPrice, and Real.

void asset::setCcy (  Currency  ccy  )  [inline]

sets the currency Definition at line 100 of file asset.h. References _denomCur.

void asset::setDivAsRate (  Real  rate = 0.0  )

sets the div rate Definition at line 84 of file asset.cpp. References _areDividendsAsGrowingRate, _dividendGrowingRate, and Real.

void asset::setDivFlows (  flowSchedule  fc  )  [inline]

sets the flow schedule Definition at line 97 of file asset.h. References _announcedDividendFlows.

void asset::setPrice (  Real  p  )  [inline]

sets the spot price Definition at line 88 of file asset.h. References _currentPrice, and Real. Referenced by mainconvertiblebond().

void asset::setVolatility (  Real  volatility  )  [inline]

sets the volatility Definition at line 103 of file asset.h. References _volatility, and Real.

void asset::setYieldCurve (  yieldCurve  yc  )  [inline]

sets the yc Definition at line 91 of file asset.h.

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Member Data Documentation

valarray<flowSchedule> asset::_announcedDividendFlows [private]

Definition at line 61 of file asset.h. Referenced by asset(), forwardPrice(), getFlowSchedule(), and setDivFlows().

bool asset::_areDividendsAsGrowingRate [private]

Definition at line 59 of file asset.h. Referenced by areDivAsRate(), asset(), forwardPrice(), and setDivAsRate().

Real asset::_currentPrice [private]

Definition at line 57 of file asset.h. Referenced by asset(), forwardPrice(), getPrice(), Price(), and setPrice().

Currency asset::_denomCur [private]

Definition at line 62 of file asset.h. Referenced by asset(), GetCurrencyFormat(), and setCcy().

Real asset::_dividendGrowingRate [private]

Definition at line 60 of file asset.h. Referenced by asset(), forwardPrice(), getRate(), and setDivAsRate().

Real asset::_volatility [private]

Definition at line 63 of file asset.h. Referenced by asset(), GetVolatility(), and setVolatility().

yieldCurve asset::_yc [private]

Definition at line 58 of file asset.h.

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The documentation for this class was generated from the following files:

• asset.h
• asset.cpp

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