QuantoEngine< Instr, Engine > Class Template Reference

Quanto engine. More...

#include <quantoengine.hpp>

Inheritance diagram for QuantoEngine< Instr, Engine >:

Collaboration diagram for QuantoEngine< Instr, Engine >:

Public Member Functions
	QuantoEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, Handle< YieldTermStructure > foreignRiskFreeRate, Handle< BlackVolTermStructure > exchangeRateVolatility, Handle< Quote > correlation)
void	calculate () const override
Public Member Functions inherited from GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
virtual void	reset ()=0
virtual void	calculate () const =0
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Protected Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Handle< YieldTermStructure >	foreignRiskFreeRate_
Handle< BlackVolTermStructure >	exchangeRateVolatility_
Handle< Quote >	correlation_
Protected Attributes inherited from GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >
Instr::arguments	arguments_
QuantoOptionResults< Instr::results >	results_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

template<class Instr, class Engine>
class QuantLib::QuantoEngine< Instr, Engine >

Quanto engine.

Warning:

for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)

Tests:

• the correctness of the returned value is tested by reproducing results available in literature.
• the correctness of the returned greeks is tested by reproducing numerical derivatives.

Definition at line 49 of file quantoengine.hpp.

Constructor & Destructor Documentation

QuantoEngine()

QuantoEngine	(	ext::shared_ptr< GeneralizedBlackScholesProcess >	process,
		Handle< YieldTermStructure >	foreignRiskFreeRate,
		Handle< BlackVolTermStructure >	exchangeRateVolatility,
		Handle< Quote >	correlation
	)

Definition at line 70 of file quantoengine.hpp.

Here is the call graph for this function:

Member Function Documentation

calculate()

void calculate

overridevirtual

Implements PricingEngine.

Definition at line 85 of file quantoengine.hpp.

Member Data Documentation

process_

ext::shared_ptr<GeneralizedBlackScholesProcess> process_

protected

Definition at line 60 of file quantoengine.hpp.

foreignRiskFreeRate_

Handle<YieldTermStructure> foreignRiskFreeRate_

protected

Definition at line 61 of file quantoengine.hpp.

exchangeRateVolatility_

Handle<BlackVolTermStructure> exchangeRateVolatility_

protected

Definition at line 62 of file quantoengine.hpp.

correlation_

Handle<Quote> correlation_

protected

Definition at line 63 of file quantoengine.hpp.