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.


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Referenced By

The man page QuantoDoubleBarrierOption(3) is an alias of QuantLib_QuantoDoubleBarrierOption(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib