QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

QuantoForwardVanillaOption Member List This is the complete list of members for QuantoForwardVanillaOption, including all inherited members. calculate() const LazyObject [protected] Call enum value (defined in Option) Option correlation_ (defined in QuantoVanillaOption) QuantoVanillaOption [protected] delta() const (defined in VanillaOption) VanillaOption delta_ (defined in VanillaOption) VanillaOption [mutable, protected] description() const Instrument dividendRho() const (defined in VanillaOption) VanillaOption dividendRho_ (defined in VanillaOption) VanillaOption [mutable, protected] dividendTS_ (defined in VanillaOption) VanillaOption [protected] engine_ (defined in Option) Option [protected] errorEstimate() const (defined in Option) Option errorEstimate_ (defined in Option) Option [mutable, protected] exchRateVolTS_ (defined in QuantoVanillaOption) QuantoVanillaOption [protected] exercise_ (defined in VanillaOption) VanillaOption [protected] foreignRiskFreeTS_ (defined in QuantoVanillaOption) QuantoVanillaOption [protected] freeze() LazyObject gamma() const (defined in VanillaOption) VanillaOption gamma_ (defined in VanillaOption) VanillaOption [mutable, protected] impliedVolatility(double targetValue, double accuracy=1.0e-4, Size maxEvaluations=100, double minVol=1.0e-4, double maxVol=4.0) const VanillaOption Instrument(const std::string &isinCode="", const std::string &description="") (defined in Instrument) Instrument isExpired() const Instrument isExpired_ (defined in Instrument) Instrument [mutable, protected] isinCode() const Instrument LazyObject() (defined in LazyObject) LazyObject notifyObservers() Observable NPV() const Instrument NPV_ (defined in Instrument) Instrument [mutable, protected] Observer() (defined in Observer) Observer Observer(const Observer &) (defined in Observer) Observer operator=(const Observer &) (defined in Observer) Observer Option(const Handle< PricingEngine > &engine, const std::string &isinCode="", const std::string &description="") (defined in Option) Option performCalculations() const QuantoVanillaOption [protected, virtual] Put enum value (defined in Option) Option qlambda() const (defined in QuantoVanillaOption) QuantoVanillaOption qlambda_ (defined in QuantoVanillaOption) QuantoVanillaOption [mutable, protected] qrho() const (defined in QuantoVanillaOption) QuantoVanillaOption qrho_ (defined in QuantoVanillaOption) QuantoVanillaOption [mutable, protected] QuantoForwardVanillaOption(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, double moneyness, Date resetDate, const std::string &isinCode="", const std::string &description="") (defined in QuantoForwardVanillaOption) QuantoForwardVanillaOption 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="") (defined in QuantoVanillaOption) QuantoVanillaOption qvega() const (defined in QuantoVanillaOption) QuantoVanillaOption qvega_ (defined in QuantoVanillaOption) QuantoVanillaOption [mutable, protected] recalculate() LazyObject registerWith(const Handle< Observable > &) (defined in Observer) Observer rho() const (defined in VanillaOption) VanillaOption rho_ (defined in VanillaOption) VanillaOption [mutable, protected] riskFreeTS_ (defined in VanillaOption) VanillaOption [protected] setPricingEngine(const Handle< PricingEngine > &) (defined in Option) Option setupEngine() const (defined in QuantoForwardVanillaOption) QuantoForwardVanillaOption [protected, virtual] Straddle enum value (defined in Option) Option strike_ (defined in VanillaOption) VanillaOption [protected] strikeSensitivity() const (defined in VanillaOption) VanillaOption strikeSensitivity_ (defined in VanillaOption) VanillaOption [mutable, protected] theta() const (defined in VanillaOption) VanillaOption theta_ (defined in VanillaOption) VanillaOption [mutable, protected] Type enum name (defined in Option) Option type_ (defined in VanillaOption) VanillaOption [protected] underlying_ (defined in VanillaOption) VanillaOption [protected] unfreeze() LazyObject unregisterWith(const Handle< Observable > &) (defined in Observer) Observer update() LazyObject [virtual] VanillaOption(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=Handle< PricingEngine >(), const std::string &isinCode="", const std::string &description="") (defined in VanillaOption) VanillaOption vega() const (defined in VanillaOption) VanillaOption vega_ (defined in VanillaOption) VanillaOption [mutable, protected] volTS_ (defined in VanillaOption) VanillaOption [protected] ~Instrument() (defined in Instrument) Instrument [virtual] ~LazyObject() (defined in LazyObject) LazyObject [virtual] ~Observable() (defined in Observable) Observable [virtual] ~Observer() (defined in Observer) Observer [virtual] ~Option() (defined in Option) Option [virtual]

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