#include <ql/PricingEngines/Quanto/quantoengine.hpp>
Inheritance diagram for QuantoEngine:
[legend]List of all members.
Detailed Description
template<class ArgumentsType, class ResultsType>
class QuantLib::QuantoEngine< ArgumentsType, ResultsType >
Quanto engine base class.
- Warning:
- for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)
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Public Member Functions |
| QuantoEngine (const boost::shared_ptr< GenericEngine< ArgumentsType, ResultsType > > &) |
void | calculate () const |
ArgumentsType * | underlyingArgs () const |
Protected Attributes |
boost::shared_ptr< GenericEngine<
ArgumentsType, ResultsType > > | originalEngine_ |
ArgumentsType * | originalArguments_ |
const ResultsType * | originalResults_ |
Member Function Documentation
ArgumentsType* underlyingArgs |
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const |
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Access to the arguments of the underlying engine is needed as this engine is not able to set them completely. When necessary, it must be done by the instrument: see QuantoForwardVanillaOption for an example. |
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