QuantLib_VannaVolgaDoubleBarrierEngine man page

VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine > — Vanna Volga double-barrier option engine.


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

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

Public Member Functions

VannaVolgaDoubleBarrierEngine (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, int series=5)

virtual void calculate () const

Additional Inherited Members

Detailed Description

template<class DoubleBarrierEngine>

class QuantLib::VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine >" Vanna Volga double-barrier option engine.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

VannaVolgaDoubleBarrierEngine(3) is an alias of QuantLib_VannaVolgaDoubleBarrierEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016