QuantoForwardVanillaOption Class Reference

#include <quantoforwardvanillaoption.hpp>

Inheritance diagram for QuantoForwardVanillaOption:

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List of all members.

Detailed Description

Quanto version of a forward vanilla option.


Public Member Functions

 QuantoForwardVanillaOption (Option::Type type, const RelinkableHandle< MarketElement > &underlying, double strike, const RelinkableHandle< TermStructure > &dividendTS, const RelinkableHandle< TermStructure > &riskFreeTS, const Exercise &exercise, const RelinkableHandle< BlackVolTermStructure > &volTS, const Handle< PricingEngine > &engine, const RelinkableHandle< TermStructure > &foreignRiskFreeTS, const RelinkableHandle< BlackVolTermStructure > &exchRateVolTS, const RelinkableHandle< MarketElement > &correlation, double moneyness, Date resetDate, const std::string &isinCode="", const std::string &description="")

Protected Member Functions

void setupEngine () const


The documentation for this class was generated from the following files:

QuantLib.org
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