ForwardVanillaOption Class Reference

#include <forwardvanillaoption.hpp>

Inheritance diagram for ForwardVanillaOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Forward version of a vanilla option.


Public Member Functions

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

Protected Member Functions

void setupEngine () const
void performCalculations () const


Member Function Documentation

void performCalculations  )  const [protected, virtual]
 

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:

QuantLib.org
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