setup (3) - Linux Manuals

setup: Forward engine for vanilla options

NAME

QuantLib::ForwardVanillaEngine - Forward engine for vanilla options

SYNOPSIS

#include <ql/pricingengines/forward/forwardengine.hpp>

Inherits GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >.

Public Member Functions

ForwardVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &)

void calculate () const

Protected Member Functions

void setup () const

void getOriginalResults () const

Protected Attributes

boost::shared_ptr< GeneralizedBlackScholesProcess > process_

boost::shared_ptr< Engine > originalEngine_

VanillaOption::arguments * originalArguments_

const VanillaOption::results * originalResults_

Detailed Description

template<class Engine> class QuantLib::ForwardVanillaEngine< Engine >

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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