QuantoForwardVanillaOption Class Reference
[Financial instruments]

#include <ql/instruments/quantoforwardvanillaoption.hpp>

Inheritance diagram for QuantoForwardVanillaOption:

Inheritance graph
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List of all members.

Detailed Description

Quanto version of a forward vanilla option.


Public Types

typedef QuantoOptionArguments<
ForwardVanillaOption::arguments
arguments
typedef QuantoOptionResults<
ForwardVanillaOption::results > 
results
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 (PricingEngine::arguments *) const