ForwardVanillaOption Class Reference

#include <ql/Instruments/forwardvanillaoption.hpp>

Inheritance diagram for ForwardVanillaOption:

Inheritance graph
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List of all members.

Detailed Description

Forward version of a vanilla option.


Public Types

typedef ForwardOptionArguments<
VanillaOption::arguments > 
arguments
typedef VanillaOption::results results

Public Member Functions

 ForwardVanillaOption (double moneyness, Date resetDate, const Handle< BlackScholesStochasticProcess > &stochProc, const Handle< StrikedTypePayoff > &payoff, const Handle< Exercise > &exercise, const Handle< PricingEngine > &engine)
void setupArguments (Arguments *) const

Protected Member Functions

void performCalculations () const


Member Function Documentation

void setupArguments Arguments  )  const [virtual]
 

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from OneAssetStrikedOption.

void performCalculations  )  const [protected, virtual]
 

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from VanillaOption.


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