QuantLib_ForwardPerformanceVanillaEngine

Langue: en

Autres versions - même langue

Version: 380816 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::ForwardPerformanceVanillaEngine -

Forward performance engine for vanilla options

SYNOPSIS


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

Inherits QuantLib::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 >

Forward performance engine for vanilla options

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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