QuantLib_QuantoEngine man page

QuantoEngine< Instr, Engine > — Quanto engine.

Synopsis

#include <ql/pricingengines/quanto/quantoengine.hpp>

Inherits GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >.

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_

Additional Inherited Members

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

exchangeRateVolatility_(3), foreignRiskFreeRate_(3) and QuantoEngine(3) are aliases of QuantLib_QuantoEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib