QuantLib_VannaVolgaBarrierEngine man page

VannaVolgaBarrierEngine — Vanna Volga barrier option engine.

Synopsis

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

Inherits GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results >.

Public Member Functions

VannaVolgaBarrierEngine (const Handle< DeltaVolQuote > &atmVol, const Handle< DeltaVolQuote > &vol25Put, const Handle< DeltaVolQuote > &vol25Call, const Handle< Quote > &spotFX, const Handle< YieldTermStructure > &domesticTS, const Handle< YieldTermStructure > &foreignTS, const bool adaptVanDelta=false, const Real bsPriceWithSmile=0.0)

void calculate () const

Additional Inherited Members

Detailed Description

Vanna Volga barrier option engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

VannaVolgaBarrierEngine(3) is an alias of QuantLib_VannaVolgaBarrierEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib