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QuantLib_ForwardVanillaEngine
Langue: en
Version: 373181 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::ForwardVanillaEngine -Forward engine for vanilla options
SYNOPSIS
#include <ql/pricingengines/forward/forwardengine.hpp>
Inherits GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >.
Inherited by ForwardPerformanceVanillaEngine< Engine >.
Public Member Functions
ForwardVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)
void calculate () const
Protected Member Functions
void setup () const
void getOriginalResults () const
Protected Attributes
boost::shared_ptr< GeneralizedBlackScholesProcess > process_
boost::shared_ptr< Engine > originalEngine_
VanillaOption::arguments * originalArguments_
const VanillaOption::results * originalResults_
Detailed Description
template<class Engine> class QuantLib::ForwardVanillaEngine< Engine >
Forward engine for vanilla optionsTests
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- *
- the correctness of the returned value is tested by reproducing results available in literature.
- *
- the correctness of the returned greeks is tested by reproducing numerical derivatives.
Author
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