QuantoForwardVanillaOption Class Reference#include <quantoforwardvanillaoption.hpp>
Inheritance diagram for QuantoForwardVanillaOption:
[legend]List of all members.
Detailed Description
Quanto version of a forward vanilla option.
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Public Member Functions |
| QuantoForwardVanillaOption (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, 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:
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