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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 Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< BlackVolTermStructure > &exchRateVolTS, const Handle< Quote > &correlation, const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &, const boost::shared_ptr< PricingEngine > &) | |
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 | |
Handle< YieldTermStructure > | foreignRiskFreeTS_ |
Handle< BlackVolTermStructure > | exchRateVolTS_ |
Handle< Quote > | correlation_ |
Real | qvega_ |
Real | qrho_ |
Real | qlambda_ |
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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 OneAssetStrikedOption. Reimplemented in QuantoForwardVanillaOption. |
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This method must leave the instrument in a consistent state when the expiration condition is met. Reimplemented from OneAssetOption. |
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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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