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QuantLib_QuantoEngine
Langue: en
Version: 170442 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::QuantoEngine - Quanto engine.SYNOPSIS
#include <ql/pricingengines/quanto/quantoengine.hpp>
Inherits GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >.
Public Member Functions
QuantoEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const Handle< YieldTermStructure > &foreignRiskFreeRate, const Handle< BlackVolTermStructure > &exchangeRateVolatility, const Handle< Quote > &correlation)
void calculate () const
Protected Attributes
boost::shared_ptr< GeneralizedBlackScholesProcess > process_
Handle< YieldTermStructure > foreignRiskFreeRate_
Handle< BlackVolTermStructure > exchangeRateVolatility_
Handle< Quote > correlation_
Detailed Description
template<class Instr, class Engine> class QuantLib::QuantoEngine< Instr, Engine >
Quanto engine.Warning
- for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)
Tests
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- •
- 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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Contenus ©2006-2024 Benjamin Poulain
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