QuantLib_ForwardPerformanceVanillaEngine (3) - Linux Manuals

QuantLib_ForwardPerformanceVanillaEngine: Forward performance engine for vanilla options

NAME

QuantLib::ForwardPerformanceVanillaEngine - Forward performance engine for vanilla options

SYNOPSIS

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

Inherits ForwardVanillaEngine< Engine >.

Public Member Functions

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

void calculate () const

Protected Member Functions

void getOriginalResults () const

Detailed Description

template<class Engine> class QuantLib::ForwardPerformanceVanillaEngine< Engine >

Tests

*

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.

Author

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