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QuantLib::QuantoVanillaOption – quanto version of a vanilla option

Synopsis

#include <ql/instruments/quantovanillaoption.hpp>

Inherits QuantLib::OneAssetOption.

Public Types

typedef OneAssetOption::arguments arguments

typedef QuantoOptionResults< OneAssetOption::results > results

typedef GenericEngine< arguments, results > engine

Public Member Functions

QuantoVanillaOption (const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &)

void fetchResults (const PricingEngine::results *) const

greeks

Real qvega () const

Real qrho () const

Real qlambda () const

Detailed Description

quanto version of a vanilla option

Member Function Documentation

void fetchResults (const PricingEngine::results * r) const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from OneAssetOption.

Author

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