QuantoEngine (3) - Linux Manuals

QuantoEngine: Quanto engine.


QuantLib::QuantoEngine - Quanto engine.


#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.


for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)


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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