27 const Date& resetDate,
28 const ext::shared_ptr<StrikedTypePayoff>&
payoff,
29 const ext::shared_ptr<Exercise>& exercise)
31 moneyness_(moneyness), resetDate_(resetDate) {}
Arguments for forward (strike-resetting) option calculation
void setupArguments(PricingEngine::arguments *) const override
ForwardVanillaOption(Real moneyness, const Date &resetDate, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise)
void fetchResults(const PricingEngine::results *) const override
virtual void setupArguments(PricingEngine::arguments *) const
Results from single-asset option calculation
Base class for options on a single asset.
void fetchResults(const PricingEngine::results *) const override
#define QL_ENSURE(condition, message)
throw an error if the given post-condition is not verified
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Forward version of a vanilla option.
ext::shared_ptr< QuantLib::Payoff > payoff
ext::shared_ptr< YieldTermStructure > r