qrho (3) - Linux Manuals

qrho: Quanto version of a barrier option.

Command to display qrho manual in Linux: $ man 3 qrho

NAME

QuantLib::QuantoBarrierOption - Quanto version of a barrier option.

SYNOPSIS

#include <ql/instruments/quantobarrieroption.hpp>

Inherits QuantLib::BarrierOption.

Public Types

typedef BarrierOption::arguments arguments

typedef QuantoOptionResults< BarrierOption::results > results

Public Member Functions

QuantoBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise)

void fetchResults (const PricingEngine::results *) const

greeks

Real qvega () const

Real qrho () const

Real qlambda () const

Detailed Description

Quanto version of a barrier option.

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.

Author

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