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<title>ForwardVanillaEngine< Engine > 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 href="#pub-methods">Public Member Functions</a> |
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<div class="title">ForwardVanillaEngine< Engine > Class Template Reference<div class="ingroups"><a class="el" href="group__forwardengines.html">Forward option engines</a></div></div> </div>
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<!-- doxytag: class="QuantLib::ForwardVanillaEngine" --><!-- doxytag: inherits="GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >" -->
<p>Forward engine for vanilla options
<a href="class_quant_lib_1_1_forward_vanilla_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/forward/forwardengine.hpp></code></p>
<div class="dynheader">
Inheritance diagram for ForwardVanillaEngine< Engine >:</div>
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<div class="center"><img src="class_quant_lib_1_1_forward_vanilla_engine__inherit__graph.png" border="0" usemap="#_forward_vanilla_engine_3_01_engine_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_forward_vanilla_engine_3_01_engine_01_4_inherit__map" id="_forward_vanilla_engine_3_01_engine_01_4_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_forward_performance_vanilla_engine.html" title="Forward performance engine for vanilla options" alt="" coords="889,5,1169,35"/><area shape="rect" id="node2" href="class_quant_lib_1_1_generic_engine.html" title="GenericEngine\< ForwardOptionArguments\< VanillaOption::arguments \>, VanillaOption::results \>" alt="" coords="7,5,583,35"/></map>
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<p><a href="class_quant_lib_1_1_forward_vanilla_engine-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac36f28b9d8a41e1d7ffa635b646113e4"></a><!-- doxytag: member="QuantLib::ForwardVanillaEngine::ForwardVanillaEngine" ref="ac36f28b9d8a41e1d7ffa635b646113e4" args="(const boost::shared_ptr< GeneralizedBlackScholesProcess > &)" -->
 </td><td class="memItemRight" valign="bottom"><b>ForwardVanillaEngine</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html">GeneralizedBlackScholesProcess</a> > &)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::ForwardVanillaEngine::calculate" ref="a10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aaf6fe482a5cbe04b84c3d33c398c8b14"></a><!-- doxytag: member="QuantLib::ForwardVanillaEngine::setup" ref="aaf6fe482a5cbe04b84c3d33c398c8b14" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>setup</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa47d29db016c5dc91eb9c387d5f7081c"></a><!-- doxytag: member="QuantLib::ForwardVanillaEngine::getOriginalResults" ref="aa47d29db016c5dc91eb9c387d5f7081c" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>getOriginalResults</b> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a56894d395192aaae9970e5f03c5ad02f"></a><!-- doxytag: member="QuantLib::ForwardVanillaEngine::process_" ref="a56894d395192aaae9970e5f03c5ad02f" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <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" align="right" valign="top"><a class="anchor" id="af70ec551b6ec27f5621f8a30b2f71fad"></a><!-- doxytag: member="QuantLib::ForwardVanillaEngine::originalEngine_" ref="af70ec551b6ec27f5621f8a30b2f71fad" args="" -->
boost::shared_ptr< Engine > </td><td class="memItemRight" valign="bottom"><b>originalEngine_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a957f320e6ab71c16c35f28810f337c1e"></a><!-- doxytag: member="QuantLib::ForwardVanillaEngine::originalArguments_" ref="a957f320e6ab71c16c35f28810f337c1e" args="" -->
<a class="el" href="class_quant_lib_1_1_option_1_1arguments.html">VanillaOption::arguments</a> * </td><td class="memItemRight" valign="bottom"><b>originalArguments_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac42196dafa702c798fa34caf85e14297"></a><!-- doxytag: member="QuantLib::ForwardVanillaEngine::originalResults_" ref="ac42196dafa702c798fa34caf85e14297" args="" -->
const VanillaOption::results * </td><td class="memItemRight" valign="bottom"><b>originalResults_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<class Engine><br/>
class QuantLib::ForwardVanillaEngine< Engine ></h3>
<p>Forward engine for vanilla options </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000101">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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