QuantLib_QuantoForwardVanillaOption man page

QuantoForwardVanillaOption — Quanto version of a forward vanilla option.

Synopsis

#include <ql/instruments/quantoforwardvanillaoption.hpp>

Inherits ForwardVanillaOption.

Public Types

typedef ForwardVanillaOption::arguments arguments

typedef QuantoOptionResults< ForwardVanillaOption::results > results

Public Member Functions

QuantoForwardVanillaOption (Real moneyness, const Date &resetDate, const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &)

void fetchResults (const PricingEngine::results *) const

greeks

Real qvega () const

Real qrho () const

Real qlambda () const

Additional Inherited Members

Detailed Description

Quanto version of a forward vanilla 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 ForwardVanillaOption.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

QuantoForwardVanillaOption(3) is an alias of QuantLib_QuantoForwardVanillaOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib