QuantoVanillaOption Class Reference

#include <quantovanillaoption.hpp>

Inheritance diagram for QuantoVanillaOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Quanto version of a vanilla option.


Public Member Functions

 QuantoVanillaOption (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, const std::string &isinCode="", const std::string &description="")
greeks
double qvega () const
double qrho () const
double qlambda () const

Protected Member Functions

void setupEngine () const
void performCalculations () const

Protected Attributes

RelinkableHandle< TermStructureforeignRiskFreeTS_
RelinkableHandle< BlackVolTermStructureexchRateVolTS_
RelinkableHandle< MarketElementcorrelation_
double qvega_
double qrho_
double qlambda_


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
QuantLib
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