QuantoEngine< Instr, Engine > Class Template Reference
Quanto engine. More...
#include <ql/pricingengines/quanto/quantoengine.hpp>
Inheritance diagram for QuantoEngine< Instr, Engine >:

Public Member Functions | |
QuantoEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const Handle< YieldTermStructure > &foreignRiskFreeRate, const Handle< BlackVolTermStructure > &exchangeRateVolatility, const Handle< Quote > &correlation) | |
void | calculate () const |
Protected Attributes | |
boost::shared_ptr < GeneralizedBlackScholesProcess > | process_ |
Handle< YieldTermStructure > | foreignRiskFreeRate_ |
Handle< BlackVolTermStructure > | exchangeRateVolatility_ |
Handle< Quote > | correlation_ |
Detailed Description
template<class Instr, class Engine>
class QuantLib::QuantoEngine< Instr, Engine >
Quanto engine.
- 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.