QuantoEngine Class Template Reference
[Quanto option engines]

#include <ql/PricingEngines/Quanto/quantoengine.hpp>

Inheritance diagram for QuantoEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

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

Quanto engine base class.

Warning:
for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)

Tests:
a) the correctness of the returned value is tested by reproducing results available in literature.

b) the correctness of the returned greeks is tested by reproducing numerical derivatives.


Public Member Functions

 QuantoEngine (const boost::shared_ptr< GenericEngine< ArgumentsType, ResultsType > > &)
void calculate () const
ArgumentsType * underlyingArgs () const

Protected Attributes

boost::shared_ptr< GenericEngine<
ArgumentsType, ResultsType > > 
originalEngine_
ArgumentsType * originalArguments_
const ResultsType * originalResults_


Member Function Documentation

ArgumentsType* underlyingArgs  )  const
 

Access to the arguments of the underlying engine is needed as this engine is not able to set them completely. When necessary, it must be done by the instrument: see QuantoForwardVanillaOption for an example.


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