QuantoForwardVanillaOption Class Reference
[Financial instruments]
#include <ql/instruments/quantoforwardvanillaoption.hpp>
Inheritance diagram for QuantoForwardVanillaOption:

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 |