QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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quantoforwardvanillaoption.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2003 Ferdinando Ametrano
5 Copyright (C) 2007 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file quantoforwardvanillaoption.hpp
22 \brief Quanto version of a forward vanilla option
23*/
24
25#ifndef quantlib_quanto_forward_vanilla_option_h
26#define quantlib_quanto_forward_vanilla_option_h
27
30
31namespace QuantLib {
32
33 //! Quanto version of a forward vanilla option
34 /*! \ingroup instruments */
36 public:
40 const Date& resetDate,
41 const ext::shared_ptr<StrikedTypePayoff>&,
42 const ext::shared_ptr<Exercise>&);
43 //! \name greeks
44 //@{
45 Real qvega() const;
46 Real qrho() const;
47 Real qlambda() const;
48 //@}
49 void fetchResults(const PricingEngine::results*) const override;
50
51 private:
52 void setupExpired() const override;
53 // results
55 };
56
57}
58
59
60#endif
61
Concrete date class.
Definition: date.hpp:125
Arguments for forward (strike-resetting) option calculation
Forward version of a vanilla option
Quanto version of a forward vanilla option.
void fetchResults(const PricingEngine::results *) const override
QuantoOptionResults< ForwardVanillaOption::results > results
Results from quanto option calculation
Forward version of a vanilla option.
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
Quanto version of a vanilla option.