ForwardPerformanceEngine Class Template Reference
[Forward option engines]

#include <ql/PricingEngines/Forward/forwardperformanceengine.hpp>

Inheritance diagram for ForwardPerformanceEngine:

Inheritance graph
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List of all members.

Detailed Description

template<class ArgumentsType, class ResultsType>
class QuantLib::ForwardPerformanceEngine< ArgumentsType, ResultsType >

Forward performance engine.

Tests:
a) the correctness of the returned value is tested by reproducing results available in literature.

b) the correctness of the returned greeks is tested by reproducing numerical derivatives.


Public Member Functions

 ForwardPerformanceEngine (const boost::shared_ptr< GenericEngine< ArgumentsType, ResultsType > > &)
void calculate () const
void getOriginalResults () const


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