![]() QuantLib 0.3.7Getting startedReference manual |
QuantoVanillaOption Class Reference |
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< TermStructure > | foreignRiskFreeTS_ |
RelinkableHandle< BlackVolTermStructure > | exchRateVolTS_ |
RelinkableHandle< Quote > | correlation_ |
Real | qvega_ |
Real | qrho_ |
Real | qlambda_ |
|
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. |
|
This method must leave the instrument in a consistent state when the expiration condition is met. Reimplemented from OneAssetOption. |
|
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. |
QuantLib.org![]() |
Hosted by![]() |
Documentation generated by![]() |