29 const ext::shared_ptr<StrikedTypePayoff>&
payoff,
30 const ext::shared_ptr<Exercise>& exercise)
36 "exchange rate vega calculation failed");
43 "foreign interest rate rho calculation failed");
50 "quanto correlation sensitivity calculation failed");
63 QL_ENSURE(quantoResults !=
nullptr,
"no quanto results returned from pricing engine");
64 qrho_ = quantoResults->qrho;
65 qvega_ = quantoResults->qvega;
Double Barrier option on a single asset.
void calculate() const override
virtual void fetchResults(const PricingEngine::results *) const
virtual void setupExpired() const
template class providing a null value for a given type.
void setupExpired() const override
void fetchResults(const PricingEngine::results *) const override
QuantoDoubleBarrierOption(DoubleBarrier::Type barrierType, Real barrier_lo, Real barrier_hi, Real rebate, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
Results from quanto option calculation
#define QL_ENSURE(condition, message)
throw an error if the given post-condition is not verified
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
ext::shared_ptr< QuantLib::Payoff > payoff
ext::shared_ptr< YieldTermStructure > r
Quanto version of a double barrier option.