QuantLib_ForwardVanillaEngine (3) - Linux Manuals

QuantLib_ForwardVanillaEngine: Forward engine for vanilla options


QuantLib::ForwardVanillaEngine - Forward engine for vanilla options


#include <ql/pricingengines/forward/forwardengine.hpp>

Inherits GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >.

Public Member Functions

ForwardVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)

void calculate () const

Protected Member Functions

void setup () const

void getOriginalResults () const

Protected Attributes

boost::shared_ptr< GeneralizedBlackScholesProcess > process_

boost::shared_ptr< Engine > originalEngine_

VanillaOption::arguments * originalArguments_

const VanillaOption::results * originalResults_

Detailed Description

template<class Engine> class QuantLib::ForwardVanillaEngine< Engine >

Forward 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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