QuantoVanillaOption Class Reference
[Financial instruments]
#include <ql/instruments/quantovanillaoption.hpp>
Inheritance diagram for QuantoVanillaOption:
Detailed Description
quanto version of a vanilla option
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 |
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.