QuantLib_ForwardVanillaEngine man page

ForwardVanillaEngine< Engine > — Forward engine for vanilla options

Synopsis

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

Inherits GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >.

Inherited by ForwardPerformanceVanillaEngine< Engine >.

Public Member Functions

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

void calculate () const

Protected Member Functions

void setup () const

void getOriginalResults () const

Protected Attributes

boost::shared_ptr< GeneralizedBlackScholesProcess > process_

boost::shared_ptr< Engine > originalEngine_

VanillaOption::arguments * originalArguments_

const VanillaOption::results * originalResults_

Additional Inherited Members

Detailed Description

template<class Engine>

class QuantLib::ForwardVanillaEngine< Engine >" Forward 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

ForwardVanillaEngine(3), originalArguments_(3), originalEngine_(3), originalResults_(3) and setup(3) are aliases of QuantLib_ForwardVanillaEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib