20#include <ql/instruments/quantobarrieroption.hpp>
28 const ext::shared_ptr<StrikedTypePayoff>& payoff,
29 const ext::shared_ptr<Exercise>& exercise)
30 :
BarrierOption(barrierType, barrier, rebate, payoff, exercise) {}
35 "exchange rate vega calculation failed");
42 "foreign interest rate rho calculation failed");
49 "quanto correlation sensitivity calculation failed");
62 QL_ENSURE(quantoResults !=
nullptr,
"no quanto results returned from pricing engine");
63 qrho_ = quantoResults->qrho;
64 qvega_ = quantoResults->qvega;
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.
QuantoBarrierOption(Barrier::Type barrierType, Real barrier, Real rebate, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
void setupExpired() const override
void fetchResults(const PricingEngine::results *) const override
Results from quanto option calculation