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QuantLib_QuantoForwardVanillaOption
Langue: en
Version: 372985 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::QuantoForwardVanillaOption -Quanto version of a forward vanilla option.
SYNOPSIS
#include <ql/instruments/quantoforwardvanillaoption.hpp>
Inherits QuantLib::ForwardVanillaOption.
Public Types
typedef ForwardVanillaOption::arguments arguments
typedef QuantoOptionResults< ForwardVanillaOption::results > results
Public Member Functions
QuantoForwardVanillaOption (Real moneyness, const Date &resetDate, const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &)
void fetchResults (const PricingEngine::results *) const
greeks
Real qvega () const
Real qrho () const
Real qlambda () const
Detailed Description
Quanto version of a forward vanilla 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 ForwardVanillaOption.
Author
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