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<title>QuantLib: QuantoEngine Class Template Reference</title>
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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_quanto_engine.html">QuantoEngine</a></div>
<h1>QuantoEngine Class Template Reference<br>
<small>
[<a class="el" href="group__quantoengines.html">Quanto option engines</a>]</small>
</h1><!-- doxytag: class="QuantLib::QuantoEngine" --><!-- doxytag: inherits="QuantLib::GenericEngine" --><code>#include <ql/pricingengines/quanto/quantoengine.hpp></code>
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Inheritance diagram for QuantoEngine:</div>
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<area shape="rect" href="class_quant_lib_1_1_generic_engine.html" title="template base class for option pricing engines" alt="" coords="5,5,579,32"></map>
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<a href="class_quant_lib_1_1_quanto_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class Instr, class Engine><br>
class QuantLib::QuantoEngine< Instr, Engine ></h3>
Quanto engine.
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000083">Warning:</a></b></dt><dd>for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)</dd></dl>
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<dl compact><dt><b><a class="el" href="test.html#_test000092">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned value is tested by reproducing results available in literature.</li><li>the correctness of the returned greeks is tested by reproducing numerical derivatives. </li></ul>
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<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8d6555125db227d0efd26de75031613b"></a><!-- doxytag: member="QuantLib::QuantoEngine::QuantoEngine" ref="8d6555125db227d0efd26de75031613b" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const Handle< YieldTermStructure > &foreignRiskFreeRate, const Handle< BlackVolTermStructure > &exchangeRateVolatility, const Handle< Quote > &correlation)" -->
</td><td class="memItemRight" valign="bottom"><b>QuantoEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &foreignRiskFreeRate, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > &exchangeRateVolatility, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &correlation)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::QuantoEngine::calculate" ref="10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="56894d395192aaae9970e5f03c5ad02f"></a><!-- doxytag: member="QuantLib::QuantoEngine::process_" ref="56894d395192aaae9970e5f03c5ad02f" args="" -->
boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="115031ddc05d2c8bd162f615a6e8a4f2"></a><!-- doxytag: member="QuantLib::QuantoEngine::foreignRiskFreeRate_" ref="115031ddc05d2c8bd162f615a6e8a4f2" args="" -->
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>foreignRiskFreeRate_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d1c2bc20bc9b5f0ebc98b57b92c21bc9"></a><!-- doxytag: member="QuantLib::QuantoEngine::exchangeRateVolatility_" ref="d1c2bc20bc9b5f0ebc98b57b92c21bc9" args="" -->
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html">BlackVolTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>exchangeRateVolatility_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0bbb8459d54c70260f5dc06646c622fe"></a><!-- doxytag: member="QuantLib::QuantoEngine::correlation_" ref="0bbb8459d54c70260f5dc06646c622fe" args="" -->
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > </td><td class="memItemRight" valign="bottom"><b>correlation_</b></td></tr>
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