QuantLib_ForwardPerformanceVanillaEngine man page

ForwardPerformanceVanillaEngine< Engine > — Forward performance engine for vanilla options

Synopsis

#include <ql/pricingengines/forward/forwardperformanceengine.hpp>

Inherits ForwardVanillaEngine< Engine >.

Public Member Functions

ForwardPerformanceVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)

void calculate () const

Protected Member Functions

void getOriginalResults () const

Additional Inherited Members

Detailed Description

template<class Engine>

class QuantLib::ForwardPerformanceVanillaEngine< Engine >" Forward performance engine for vanilla options

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ForwardPerformanceVanillaEngine(3) and getOriginalResults(3) are aliases of QuantLib_ForwardPerformanceVanillaEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib