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QuantLib_ForwardVanillaOption

NAME

QuantLib::ForwardVanillaOption -

Forward version of a vanilla option

SYNOPSIS

#include <ql/instruments/forwardvanillaoption.hpp>

Inherits QuantLib::OneAssetOption.

Inherited by QuantoForwardVanillaOption.

Public Types

typedef ForwardOptionArguments< OneAssetOption::arguments > arguments

typedef OneAssetOption::results results

Public Member Functions

ForwardVanillaOption (Real moneyness, const Date &resetDate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void setupArguments (PricingEngine::arguments *) const

void fetchResults (const PricingEngine::results *) const

Detailed Description

Forward version of a vanilla option

Member Function Documentation

void setupArguments (PricingEngine::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 Option.

void fetchResults (const PricingEngine::results * r) const [virtual]When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from OneAssetOption.

Reimplemented in QuantoForwardVanillaOption.

Author

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