ql/pricingengines/forward/forwardengine.hpp File Reference


Detailed Description

Forward (strike-resetting) vanilla-option engine.

#include <ql/instruments/forwardvanillaoption.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp>
#include <ql/termstructures/yield/impliedtermstructure.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>

Include dependency graph for forwardengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  ForwardVanillaEngine
 Forward engine for vanilla options More...