QuantoEngine< Instr, Engine > Class Template Reference

Quanto engine. More...

#include <ql/pricingengines/quanto/quantoengine.hpp>

Inheritance diagram for QuantoEngine< Instr, Engine >:

Public Member Functions
	QuantoEngine (ext::shared_ptr< GeneralizedBlackScholesProcess >, Handle< YieldTermStructure > foreignRiskFreeRate, Handle< BlackVolTermStructure > exchangeRateVolatility, Handle< Quote > correlation)
void	calculate () const override
Public Member Functions inherited from GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Protected Attributes
ext::shared_ptr< GeneralizedBlackScholesProcess >	process_
Handle< YieldTermStructure >	foreignRiskFreeRate_
Handle< BlackVolTermStructure >	exchangeRateVolatility_
Handle< Quote >	correlation_
Protected Attributes inherited from GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >
Instr::arguments	arguments_
QuantoOptionResults< Instr::results >	results_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

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

• 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.

Member Function Documentation

calculate()

template<class Instr, class Engine>

void calculate ( ) const

overridevirtual

Implements PricingEngine.