forwardengine (3) - Linux Man Pages

forwardengine: Forward (strike-resetting) vanilla-option engine.

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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