QuantoVanillaOption Class Reference#include <quantovanillaoption.hpp>
Inheritance diagram for QuantoVanillaOption:
[legend]List of all members.
Detailed Description
Quanto version of a vanilla option.
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Public Member Functions |
| QuantoVanillaOption (Option::Type type, const RelinkableHandle< MarketElement > &underlying, double strike, const RelinkableHandle< TermStructure > ÷ndTS, 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, const std::string &isinCode="", const std::string &description="") |
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double | qvega () const |
double | qrho () const |
double | qlambda () const |
Protected Member Functions |
void | setupEngine () const |
void | performCalculations () const |
Protected Attributes |
RelinkableHandle< TermStructure > | foreignRiskFreeTS_ |
RelinkableHandle< BlackVolTermStructure > | exchRateVolTS_ |
RelinkableHandle< MarketElement > | correlation_ |
double | qvega_ |
double | qrho_ |
double | qlambda_ |
Member Function Documentation
void performCalculations |
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const [protected, virtual] |
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- Warning:
- this method simply launches the engine and copies the returned value into NPV_. It does not set isExpired_. This should be taken care of by redefining this method in derived classes and calling this implementation after checking for validity and only if the check succeeded.
Reimplemented from VanillaOption. |
The documentation for this class was generated from the following files:
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