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

Detailed Description
quanto version of a vanilla option
Public Types | |
typedef QuantoOptionArguments< VanillaOption::arguments > | arguments |
typedef QuantoOptionResults< VanillaOption::results > | results |
typedef QuantoEngine< VanillaOption::arguments, VanillaOption::results > | engine |
Public Member Functions | |
QuantoVanillaOption (const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< BlackVolTermStructure > &exchRateVolTS, const Handle< Quote > &correlation, const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &, const boost::shared_ptr< PricingEngine > &) | |
void | setupArguments (PricingEngine::arguments *) const |
void | fetchResults (const PricingEngine::results *) const |
greeks | |
Real | qvega () const |
Real | qrho () const |
Real | qlambda () const |
Protected Member Functions | |
void | setupExpired () const |
Protected Attributes | |
Handle< YieldTermStructure > | foreignRiskFreeTS_ |
Handle< BlackVolTermStructure > | exchRateVolTS_ |
Handle< Quote > | correlation_ |
Real | qvega_ |
Real | qrho_ |
Real | qlambda_ |
Member Function Documentation
void fetchResults | ( | const PricingEngine::results * | ) | const [virtual] |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from OneAssetStrikedOption.
void setupExpired | ( | ) | const [protected, virtual] |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from OneAssetStrikedOption.