QuantoEngine Class Template Reference
[Quanto option engines]

#include <ql/pricingengines/quanto/quantoengine.hpp>

Inheritance diagram for QuantoEngine:

Inheritance graph
[legend]
List of all members.

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.