QuantoVanillaOption Class Reference
[Financial instruments]

#include <ql/Instruments/quantovanillaoption.hpp>

Inheritance diagram for QuantoVanillaOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

quanto version of a vanilla option


Public Types

typedef QuantoOptionArguments<
VanillaOption::arguments > 
arguments
typedef QuantoOptionResults<
VanillaOption::results > 
results
typedef QuantoEngine< VanillaOption::arguments,
VanillaOption::results > 
engine

Public Member Functions

 QuantoVanillaOption (const RelinkableHandle< TermStructure > &foreignRiskFreeTS, const RelinkableHandle< BlackVolTermStructure > &exchRateVolTS, const RelinkableHandle< Quote > &correlation, const boost::shared_ptr< BlackScholesProcess > &stochProc, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const boost::shared_ptr< PricingEngine > &engine)
void setupArguments (Arguments *) const
greeks
Real qvega () const
Real qrho () const
Real qlambda () const

Protected Member Functions

void setupExpired () const
void performCalculations () const

Protected Attributes

RelinkableHandle< TermStructureforeignRiskFreeTS_
RelinkableHandle< BlackVolTermStructureexchRateVolTS_
RelinkableHandle< Quotecorrelation_
Real qvega_
Real qrho_
Real qlambda_


Member Function Documentation

void setupArguments Arguments  )  const [virtual]
 

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from OneAssetStrikedOption.

Reimplemented in QuantoForwardVanillaOption.

void setupExpired  )  const [protected, virtual]
 

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from OneAssetOption.

void performCalculations  )  const [protected, virtual]
 

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from OneAssetStrikedOption.


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