24#ifndef quantlib_vanna_volga_barrier_engine_hpp
25#define quantlib_vanna_volga_barrier_engine_hpp
27#include <ql/processes/blackscholesprocess.hpp>
28#include <ql/instruments/barrieroption.hpp>
29#include <ql/experimental/fx/deltavolquote.hpp>
47 bool adaptVanDelta =
false,
48 Real bsPriceWithSmile = 0.0);
Barrier-option engine base class
Shared handle to an observable.
Vanna/Volga barrier option engine.
const bool adaptVanDelta_
const Handle< Quote > spotFX_
const Handle< YieldTermStructure > foreignTS_
const Handle< DeltaVolQuote > vol25Put_
const Handle< DeltaVolQuote > vol25Call_
void calculate() const override
const Handle< YieldTermStructure > domesticTS_
const Real bsPriceWithSmile_
const Handle< DeltaVolQuote > atmVol_
Real Time
continuous quantity with 1-year units