QuantLib_QuantoVanillaOption man page

QuantoVanillaOption — quanto version of a vanilla option  

Synopsis

#include <ql/instruments/quantovanillaoption.hpp>

Inherits OneAssetOption.

Public Types

typedef OneAssetOption::arguments arguments
typedef QuantoOptionResults< OneAssetOption::results > results
typedef GenericEngine< arguments, results > engine

Public Member Functions

QuantoVanillaOption (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 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 OneAssetOption.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages engine(3) and QuantoVanillaOption(3) are aliases of QuantLib_QuantoVanillaOption(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib