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QuantLib_QuantoBarrierOption
Langue: en
Version: 381101 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::QuantoBarrierOption -Quanto version of a barrier option.
SYNOPSIS
#include <ql/instruments/quantobarrieroption.hpp>
Inherits QuantLib::BarrierOption.
Public Types
typedef BarrierOption::arguments arguments
typedef QuantoOptionResults< BarrierOption::results > results
Public Member Functions
QuantoBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)
void fetchResults (const PricingEngine::results *) const
greeks
Real qvega () const
Real qrho () const
Real qlambda () const
Detailed Description
Quanto version of a barrier option.
Member Function Documentation
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.
Author
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