QuantoVanillaOption Class Reference
[Financial instruments]

#include <ql/instruments/quantovanillaoption.hpp>

Inheritance diagram for QuantoVanillaOption:

Inheritance graph
[legend]
List of all members.

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< YieldTermStructureforeignRiskFreeTS_
Handle< BlackVolTermStructureexchRateVolTS_
Handle< Quotecorrelation_
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.