exchangeRateVolatility_ (3) - Linux Manuals

exchangeRateVolatility_: Quanto engine.

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 >

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.

Author

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