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QuantoForwardVanillaOption Class Reference |
Public Types | |
typedef QuantoOptionArguments< ForwardVanillaOption::arguments > | arguments |
typedef QuantoOptionResults< ForwardVanillaOption::results > | results |
typedef QuantoEngine< ForwardVanillaOption::arguments, ForwardVanillaOption::results > | engine |
Public Member Functions | |
QuantoForwardVanillaOption (const RelinkableHandle< TermStructure > &foreignRiskFreeTS, const RelinkableHandle< BlackVolTermStructure > &exchRateVolTS, const RelinkableHandle< Quote > &correlation, Real moneyness, Date resetDate, const boost::shared_ptr< BlackScholesProcess > &, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const boost::shared_ptr< PricingEngine > &engine) | |
void | setupArguments (Arguments *) const |
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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 QuantoVanillaOption. |
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