QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
instruments
quantoforwardvanillaoption.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2003 Ferdinando Ametrano
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Copyright (C) 2007 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_quanto_forward_vanilla_option_h
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#define quantlib_quanto_forward_vanilla_option_h
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#include <ql/instruments/quantovanillaoption.hpp>
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#include <ql/instruments/forwardvanillaoption.hpp>
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namespace
QuantLib
{
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class
QuantoForwardVanillaOption
:
public
ForwardVanillaOption
{
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public
:
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typedef
ForwardVanillaOption::arguments
arguments
;
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typedef
QuantoOptionResults<ForwardVanillaOption::results>
results
;
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QuantoForwardVanillaOption
(
Real
moneyness,
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const
Date
& resetDate,
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const
ext::shared_ptr<StrikedTypePayoff>&,
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const
ext::shared_ptr<Exercise>&);
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Real
qvega
()
const
;
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Real
qrho
()
const
;
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Real
qlambda
()
const
;
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void
fetchResults
(
const
PricingEngine::results
*)
const override
;
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private
:
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void
setupExpired
()
const override
;
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// results
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mutable
Real
qvega_
,
qrho_
,
qlambda_
;
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};
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}
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#endif
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QuantLib::Date
Concrete date class.
Definition:
date.hpp:125
QuantLib::ForwardOptionArguments
Arguments for forward (strike-resetting) option calculation
Definition:
forwardvanillaoption.hpp:37
QuantLib::ForwardVanillaOption
Forward version of a vanilla option
Definition:
forwardvanillaoption.hpp:48
QuantLib::PricingEngine::results
Definition:
pricingengine.hpp:51
QuantLib::QuantoForwardVanillaOption
Quanto version of a forward vanilla option.
Definition:
quantoforwardvanillaoption.hpp:35
QuantLib::QuantoForwardVanillaOption::qlambda_
Real qlambda_
Definition:
quantoforwardvanillaoption.hpp:54
QuantLib::QuantoForwardVanillaOption::qlambda
Real qlambda() const
Definition:
quantoforwardvanillaoption.cpp:46
QuantLib::QuantoForwardVanillaOption::arguments
ForwardVanillaOption::arguments arguments
Definition:
quantoforwardvanillaoption.hpp:37
QuantLib::QuantoForwardVanillaOption::qvega_
Real qvega_
Definition:
quantoforwardvanillaoption.hpp:54
QuantLib::QuantoForwardVanillaOption::qrho_
Real qrho_
Definition:
quantoforwardvanillaoption.hpp:54
QuantLib::QuantoForwardVanillaOption::qrho
Real qrho() const
Definition:
quantoforwardvanillaoption.cpp:39
QuantLib::QuantoForwardVanillaOption::setupExpired
void setupExpired() const override
Definition:
quantoforwardvanillaoption.cpp:53
QuantLib::QuantoForwardVanillaOption::fetchResults
void fetchResults(const PricingEngine::results *) const override
Definition:
quantoforwardvanillaoption.cpp:58
QuantLib::QuantoForwardVanillaOption::qvega
Real qvega() const
Definition:
quantoforwardvanillaoption.cpp:32
QuantLib::QuantoForwardVanillaOption::results
QuantoOptionResults< ForwardVanillaOption::results > results
Definition:
quantoforwardvanillaoption.hpp:38
QuantLib::QuantoOptionResults
Results from quanto option calculation
Definition:
quantovanillaoption.hpp:35
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
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