ForwardPerformanceVanillaEngine (3) - Linux Man Pages
ForwardPerformanceVanillaEngine: Forward performance engine for vanilla options
QuantLib::ForwardPerformanceVanillaEngine - Forward performance engine for vanilla options
Inherits ForwardVanillaEngine< Engine >.
Public Member Functions
Protected Member Functions
template<class Engine> class QuantLib::ForwardPerformanceVanillaEngine< Engine >Forward performance engine for vanilla options
- 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.
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