QuantLib_QuantoDoubleBarrierOption man page

QuantoDoubleBarrierOption — Quanto version of a double barrier option.


#include <ql/experimental/barrieroption/quantodoublebarrieroption.hpp>

Inherits DoubleBarrierOption.

Public Types

typedef DoubleBarrierOption::arguments arguments

typedef QuantoOptionResults< DoubleBarrierOption::results > results

Public Member Functions

QuantoDoubleBarrierOption (DoubleBarrier::Type barrierType, Real barrier_lo, Real barrier_hi, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void fetchResults (const PricingEngine::results *) const


Real qvega () const

Real qrho () const

Real qlambda () const

Additional Inherited Members

Detailed Description

Quanto version of a double barrier option.

Member Function Documentation

void fetchResults (const PricingEngine::results * r) const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

QuantoDoubleBarrierOption(3) is an alias of QuantLib_QuantoDoubleBarrierOption(3).

QuantLib Version 1.8.1 Fri Sep 23 2016