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<title>QuantoEngine< Instr, 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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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_quanto_engine.html">QuantoEngine</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> </div>
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<div class="title">QuantoEngine< Instr, Engine > Class Template Reference<div class="ingroups"><a class="el" href="group__quantoengines.html">Quanto option engines</a></div></div> </div>
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<!-- doxytag: class="QuantLib::QuantoEngine" --><!-- doxytag: inherits="GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >" -->
<p>Quanto engine.
<a href="class_quant_lib_1_1_quanto_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/quanto/quantoengine.hpp></code></p>
<div class="dynheader">
Inheritance diagram for QuantoEngine< Instr, Engine >:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_quanto_engine__inherit__graph.png" border="0" usemap="#_quanto_engine_3_01_instr_00_01_engine_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_quanto_engine_3_01_instr_00_01_engine_01_4_inherit__map" id="_quanto_engine_3_01_instr_00_01_engine_01_4_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_generic_engine.html" title="GenericEngine\< Instr::arguments, QuantoOptionResults\< Instr::results \> \>" alt="" coords="5,6,459,37"/></map>
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<p><a href="class_quant_lib_1_1_quanto_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="a8d6555125db227d0efd26de75031613b"></a><!-- doxytag: member="QuantLib::QuantoEngine::QuantoEngine" ref="a8d6555125db227d0efd26de75031613b" 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" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::QuantoEngine::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-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a56894d395192aaae9970e5f03c5ad02f"></a><!-- doxytag: member="QuantLib::QuantoEngine::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="a115031ddc05d2c8bd162f615a6e8a4f2"></a><!-- doxytag: member="QuantLib::QuantoEngine::foreignRiskFreeRate_" ref="a115031ddc05d2c8bd162f615a6e8a4f2" 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" align="right" valign="top"><a class="anchor" id="ad1c2bc20bc9b5f0ebc98b57b92c21bc9"></a><!-- doxytag: member="QuantLib::QuantoEngine::exchangeRateVolatility_" ref="ad1c2bc20bc9b5f0ebc98b57b92c21bc9" 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" align="right" valign="top"><a class="anchor" id="a0bbb8459d54c70260f5dc06646c622fe"></a><!-- doxytag: member="QuantLib::QuantoEngine::correlation_" ref="a0bbb8459d54c70260f5dc06646c622fe" 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>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<class Instr, class Engine><br/>
class QuantLib::QuantoEngine< Instr, Engine ></h3>
<p>Quanto engine. </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000098">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>
<dl class="test"><dt><b><a class="el" href="test.html#_test000108">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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