ForwardVanillaOption Class Reference
[Financial instruments]

#include <ql/Instruments/forwardvanillaoption.hpp>

Inheritance diagram for ForwardVanillaOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Forward version of a vanilla option.


Public Types

typedef ForwardOptionArguments<
VanillaOption::arguments > 
arguments
typedef VanillaOption::results results
typedef ForwardEngine< VanillaOption::arguments,
VanillaOption::results > 
engine

Public Member Functions

 ForwardVanillaOption (Real moneyness, Date resetDate, 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

Protected Member Functions

void performCalculations () const


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.

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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