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QuantLib_QuantoVanillaOption
Langue: en
Version: 377042 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::QuantoVanillaOption -quanto version of a vanilla option
SYNOPSIS
#include <ql/instruments/quantovanillaoption.hpp>
Inherits QuantLib::OneAssetOption.
Public Types
typedef OneAssetOption::arguments arguments
typedef QuantoOptionResults< OneAssetOption::results > results
typedef GenericEngine< arguments, results > engine
Public Member Functions
QuantoVanillaOption (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 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 OneAssetOption.
Author
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