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 (const ext::shared_ptr< GeneralizedBlackScholesProcess > &, const Handle< YieldTermStructure > &foreignRiskFreeRate, const Handle< BlackVolTermStructure > &exchangeRateVolatility, const Handle< Quote > &correlation)
void	calculate () const
Public Member Functions inherited from GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >
PricingEngine::arguments *	getArguments () const
const PricingEngine::results *	getResults () const
void	reset ()
void	update ()
Public Member Functions inherited from PricingEngine
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
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 boost::unordered_set< ext::shared_ptr< Observable > >	set_type
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.