forwardengine (3) Linux Manual Page
NAME
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
Detailed Description
Forward (strike-resetting) vanilla-option engine.
Author
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