forwardengine (3) Linux Manual Page
ql/pricingengines/forward/forwardengine.hpp – Forward (strike-resetting) vanilla-option engine.
Synopsis
#include <ql/instruments/forwardvanillaoption.hpp>#include <ql/instruments/vanillaoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp>
#include <ql/termstructures/yield/impliedtermstructure.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/exercise.hpp>
Classes
class ForwardVanillaEngine< Engine >Forward engine for vanilla options