QuantoEngine Class Template Reference
[Quanto option engines]
#include <ql/pricingengines/quanto/quantoengine.hpp>
Inheritance diagram for QuantoEngine:

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:
- 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 | |
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.