ForwardPerformanceEngine Class Template Reference
[Forward option engines]

#include <ql/PricingEngines/Forward/forwardperformanceengine.hpp>

Inheritance diagram for ForwardPerformanceEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

template<class ArgumentsType, class ResultsType>
class QuantLib::ForwardPerformanceEngine< ArgumentsType, ResultsType >

Forward performance engine.

Tests:
  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the returned greeks is tested by reproducing numerical derivatives.


Public Member Functions

 ForwardPerformanceEngine (const boost::shared_ptr< GenericEngine< ArgumentsType, ResultsType > > &)
void calculate () const
void getOriginalResults () const


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen