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QuantoForwardVanillaOption Class Reference |
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Public Types | |
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typedef QuantoOptionArguments< ForwardVanillaOption::arguments > | arguments |
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typedef QuantoOptionResults< ForwardVanillaOption::results > | results |
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typedef QuantoEngine< ForwardVanillaOption::arguments, ForwardVanillaOption::results > | engine |
Public Member Functions | |
| QuantoForwardVanillaOption (const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< BlackVolTermStructure > &exchRateVolTS, const Handle< Quote > &correlation, Real moneyness, Date resetDate, const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &, const boost::shared_ptr< PricingEngine > &engine) | |
| void | setupArguments (Arguments *) const |
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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 QuantoVanillaOption. |
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