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QuantLib_ForwardPerformanceVanillaEngine
Langue: en
Version: 166339 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::ForwardPerformanceVanillaEngine - Forward performance engine for vanilla optionsSYNOPSIS
#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 >
Forward performance engine for vanilla optionsTests
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- the correctness of the returned value is tested by reproducing results available in literature.
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- the correctness of the returned greeks is tested by reproducing numerical derivatives.
Author
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