exchangeRateVolatility_ (3) Linux Manual Page
QuantLib::QuantoEngine – Quanto engine.
Synopsis
#include <ql/pricingengines/quanto/quantoengine.hpp>Inherits GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >.
Public Member Functions
QuantoEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const Handle< YieldTermStructure > &foreignRiskFreeRate, const Handle< BlackVolTermStructure > &exchangeRateVolatility, const Handle< Quote > &correlation)void calculate () const
Protected Attributes
boost::shared_ptr< GeneralizedBlackScholesProcess > process_Handle< YieldTermStructure > foreignRiskFreeRate_
Handle< BlackVolTermStructure > exchangeRateVolatility_
Handle< Quote > correlation_
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
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- the correctness of the returned value is tested by reproducing results available in literature.
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- the correctness of the returned greeks is tested by reproducing numerical derivatives.
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