- QuantLib
- QuantoBarrierOption
Quanto version of a barrier option. More...
#include <ql/instruments/quantobarrieroption.hpp>

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 |
Quanto version of a barrier 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.